137****61082024-02-05 23:29:41
137****6108请讲解一下 主要是选项中的表述看不太懂啥意思
回答（1）
Evian, CFA2024-02-15 20:05:44
Evian, CFAヾ(◍°∇°◍)ﾉﾞ你好同学，
针对截图1第一段话：
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.
题目的意思是这句话是对着的：
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.
transactions occurring more frequently，理解为交易得更加频繁
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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ヾ(◍°∇°◍)ﾉﾞ你好同学，
针对截图2的第一段话：
Timmon states that AQI often uses the Brinson model with an interaction term for attribution purposes and asks Richard how the Brinson model incorporates fund manager sector weights and benchmark portfolio sector weights.
A是不对的，A说的是个股选择，而题目问的是 sector weights板块权重，所以不对应。
B选项应该是will not affect。
因为fund sponsor的allocation是一个宏观的层面，而fund manager的sector weights是这之后的micro层面。无论fund sponsor分配过来多少钱，fund manager按照这些钱投，sector weight不会被sponsor的总体自己allocation所影响的。
C是正确的，请结合以下截图
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