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轩羊羊 · 2023年05月02日

B选项什么意思?

* 问题详情,请 查看题干

NO.PZ202206140600000103

问题如下:

The best answer to Timmon’s question in regard to AQI’s use of the Brinson model is that the:

选项:

A.fund manager’s sector weights are incorporated into the selection effect. B.fund sponsor’s allocation of capital will affect the fund manager’s sector weights, which influence the results of the model. C.differences between the fund manager’s and the benchmark’s sector weights are incorporated into the allocation effect and the interaction term.

解释:

Solution

C is correct. The difference between the fund manager’s sector weights and the benchmark portfolio’s sector weights are part of the allocation effect [Ai = (wiWi) × Bi] and the interaction term [Ii = (wiWi) × (RiBi)], where

wi = fund manager’s weight for sector “i

Wi = benchmark portfolio weight for sector “i

Bi = benchmark return for sector “I

Ri = fund’s return for sector “i

A is incorrect. The selection effect incorporates only the benchmark portfolio’s sector weights [Si = Wi × (RiBi)].

B is incorrect. The fund sponsor’s allocation of capital does not affect the fund manager’s allocation of capital for investment in any manner.

请问B选项以及解释怎么理解?谢谢

1 个答案
已采纳答案

pzqa015 · 2023年05月02日

嗨,爱思考的PZer你好:


B选项说基金经理的资金摆布影响不同行业的权重配置,这是不正确的,如何配行业权重是根据IPS来进行的,不受资金摆布的影响。

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