问一道题：NO.PZ201909300100000301 第1小题 [ CFA III ]

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问题如下：

1 Of the three attribution approaches referenced by Tolmach, the method requested by the committee:

选项：

is the least accurate.

uses the underlying holdings of the actual portfolio.

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.

请问factor-based是怎么反映security selection的，谢谢！

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吴昊_品职助教 · 2020年08月19日

同学你好：

这道题让我们先识别performance attribution，然后再找它的特征。解题思路就是从特征1来识别出是return-based attribution。

你说的factor-based属于equity return attribution中的一种归因方法，即Carhart model。security selection在Brinson Model中体现，也属于equity return attribution中的一种归因方法。所以从大面上看，return-based attribution都符合，没必要再往下细分到底是哪一种return attribution了。

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问一道题：NO.PZ201909300100000301 第1小题 [ CFA III ]

1 个答案

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