Vol 6 Page 254: it says"Holding based style analysis might not reflect the portfolio going forward, particularly for high turnover strategies" ?
HBSA shows holding at point whenever you do the analysis so how is this true?
On my perspective there are 2 points you need to consider:
1- if the sentence means after the current period, on a high turnover strategy it is true that the current hba wont wont refect the portfolio in the future
2- if the turnover is high a hbsa cannot capture movements between measurement periods
Thanks for your explanation.
And this is where the Transaction Based Analysis comes into play as it will factor into all transactions and provide you the most updated view of Folio style.