TTER2024-01-27 15:07:33
TTER第三题，怎么理解“ Holdings-based attribution fails to capture the impact of any transactions made during the measurement period and may not reconcile to the actual portfolio return. ”？
查看试题回答（1）
最佳
王苏云2024-01-28 10:29:57
王苏云同学，你好！
这句话意思是，由于基于持仓的收益归因未能反映出在衡量期间所做的交易的影响，因此它可能与实际的投资组合的回报不一致。
For example, in a daily holdings-based attribution, securities are included at the end of the day they are purchased and excluded at the end of the day they are sold. If the transaction price is significantly
different from the closing price, the attribution analysis can differ significantly from the actual performance.因为基于持仓的收益归因是按投资组合的期初持有情况来做归因分析的，不能捕捉到在测量期间所进行的任何交易的影响，所以可能与实际表现有显著差异。
祝学习顺利~
- 评论（0）
- 追问（0）
评论
0/1000
追答
0/1000
+上传图片