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jessica喂喂喂 · 2023年02月15日

holdings-based attribution

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NO.PZ202206140600000102

问题如下:

Richard’s answer with respect to holdings-based attribution is best described as:

选项:

A.correct. B.incorrect in regard to the fund manager’s action affecting the residual term. C.incorrect in regard to the frequency of measuring holdings relative to transactions.

解释:

Solution

A is correct. Richard’s answer is correct. The residual term cannot be explained by a fund manager’s actions. The residual can be the result of measuring a fund’s holdings less frequently than the frequency of fund transactions.

B is incorrect. The residual term cannot be explained by a fund manager’s actions.

C is incorrect. The residual can be the result of measuring a fund’s holdings less frequently than the frequency of fund transactions.

老师,没看懂题目这段话是什么意思?a residual term是指什么?

1 个答案

吴昊_品职助教 · 2023年02月16日

嗨,爱思考的PZer你好:


本题对应的是:Richard responds that the residual term cannot be explained by an action taken by the fund manager, but it could result from transactions occurring more frequently than the holdings assessments for the fund.

这里的residual是指归因的偏差,即holding based attribution的缺点。由于Holding base只是针对某个时间点的holding做研究,该时间点之前之后 holding 的改变(turnover)无法得知,也就是说只适合于little turnover的情况。所以一旦turnover变大,那么holding就会不准,就会造成偏差。所以交易的频繁,就会造成residual。这就是原文的意思。所以原文这句话的表述完全正确。

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