🌻🎀LINDA🎀🌻 · 2023年11月13日
Timmon then asks Richard why holdings-based attribution can generate a residual term between the portfolio performance and benchmark performance. 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.
吴昊_品职助教 · 2023年11月13日
嗨，努力学习的PZer你好：
1、transactions occurring more frequently，理解为交易得更加频繁。
2、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。
----------------------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
🌻🎀LINDA🎀🌻 · 2023年11月14日
老师阅读理解水平好棒！
