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jaydengu · 2020年02月13日

问一道题:NO.PZ2020020202000021

问题如下:

There are three approaches to attribution analysis: the return-based, holdings-based, and transaction-based approaches. An investment committee would like to choose from the above attribution method meets below descriptions: (1) apply the attribution method that uses only each fund’s total portfolio returns over the last 12 months to identify return-generating components of the investment process and (2) include the impact of specific active investment decisions and the attribution effects of allocation and security selection in the report.

Compared to other two methods, the method requested by the committee:

选项:

A.

is the least accurate.

B.

uses the underlying holdings of the actual portfolio.

C.

is the most difficult and time consuming to implement.

解释:

A is correct.

The committee described a return-based attribution, which is the least accurate of the three approaches (the return-based, holdings-based, transaction-based approaches). Return-based attribution uses only the total portfolio returns over a period to identify the components of the investment process that have generated the returns.

 (2) include the impact of specific active investment decisions and the attribution effects of allocation and security selection in the report.


关于这一点为什么也是return based 的特点那?

2 个答案

stuartyuan · 2022年03月24日

没有读懂这道题,能讲解一下吗?

星星_品职助教 · 2020年02月14日

同学你好,

这道题区分点是第一条,第二条是performance attribution的共有特点,没法区分这三种方法。

Zwwei · 2022年05月29日

这个文字在讲义上有吗?还是原版书?

砖路 · 2022年08月27日

第二条是共有特点,请问一下在基础班教材里面有提到过这句话吗