开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Zunniyaki · 2023年05月05日

请问为什么B正确?

* 问题详情,请 查看题干

NO.PZ202206140600000203

问题如下:

In the discussion between McNeil and his colleague about the portfolio performance shown in Exhibit 1, the most accurate statement is:

选项:

A.Statement 1. B.Statement 2. C.Statement 3.

解释:

Solution

B is correct. The decision to underweight the health care sector was not beneficial, because the allocation contribution to the excess return is negative (–0.16%).

A is incorrect. Although the financial services sector performed well, it is the technology sector performance that provided the largest contribution to the excess return of the portfolio.

C is incorrect. The decision to underweight the consumer goods sector negatively affected the excess return (–0.15%), which is not a benefit.

health care的benchmark return小于整体benchmark return,underweight为什么not beneficial整体组合呢?

2 个答案

笛子_品职助教 · 2023年05月11日

嗨,爱思考的PZer你好:


但是Allocation effect不是等于(Wp-Wb)*(Rb-B)么?

不一定。

Allocation effect有两种算法。一种是同学说的。另一种是(Wp-Wb)*RB


那么既然这样的话,那应该(21%-25%)*(4.10%-6.11%)吧,为啥等于-0.16%呢?

本题用的是(Wp-Wb)*RB


----------------------------------------------
努力的时光都是限量版,加油!

笛子_品职助教 · 2023年05月07日

嗨,从没放弃的小努力你好:


health care的benchmark return小于整体benchmark return,underweight为什么not beneficial整体组合呢?

这里直接翻译表格的信息就可以了。

portfolio的医药持股是21%,benchmark是25%,医药underweight了。

医药的underweight,造成了的Allocation效应为-0.16%,说明underweight的收益的负的。

收益的负的,因此是not beneficial整体组合的。



老师估计,同学可能表格信息理解错了。同学也许理解为,因为Helth care表现更差,所以要低配,要减持。

但是表格的意思是:收益差是因为低配了,如果不低配收益就不会差,低配是不好的。


同学体会一下这两者的区别。

----------------------------------------------
努力的时光都是限量版,加油!

  • 2

    回答
  • 1

    关注
  • 669

    浏览
相关问题

NO.PZ202206140600000203 问题如下 Chasing Alpha ResearCase ScenarioBen McNeil works a senior manager Chasing Alpha Resear(CAR), a boutique investment house thspecializes in managing portfolios for enwment fun. For the past year, Chbeen veloping a machine learning (ML) algorithm thleverages frequently upteinternta (e.g., security weights, tras, anreturns) anexternta sources to construinvistoportfolios within a pre-terminesector allocation range (–5% to +5% of benchmark). The goof the portfolio is to outperform the benchmark over a 12-month perio anMcNeil is reviewing the performanresults to evaluate the effectiveness of the big ta strategy. Attribution results for the portfolio are proviin Exhibit 1.Exhibit 1. Attribution Results of the ML Tool-BasePortfolio Return Using the Brinson MolMcNeil consirs whiappraismethoshouluseto evaluate the effectiveness of the ML tool. He selects a portfolio constructethe ML tool baseon the investment mante provione of CAR’s clients with the following characteristics: morate to high risk toleranana preferenfor a short-term return this 1.5% above the risk-free rate. In scussing the portfolio’s performanwith a colleague, the following statements are ma: Statement 1The excess return of the portfolio is almost entirely iven the selection aninteraction performanof the financiservices sector.Statement 2The cision to unrweight the health care sector wnot beneficial. Statement 3The cision to unrweight the consumer goo sector wbeneficigiven the net contribution of 0.41% to the excess return.In reviewing the overall technology sector return, McNeil realizetha large portion of the return wiven a cision to sell equivalent llamount of Gamma Technology Inanbuy Epsilon Blockchain Co., whioutperformethe market. Without this tra, the portfolio’s technology sector return woulhave only been 12.50%. He cis to calculate the associateselection aninteraction measure hthtra not occurreQuestion In the scussion between McNeil anhis colleague about the portfolio performanshown in Exhibit 1, the most accurate statement is: A.Statement 1. B.Statement 2. C.Statement 3. SolutionB is correct. The cision to unrweight the health care sector wnot beneficial, because the allocation contribution to the excess return is negative (–0.16%). A is incorrect. Although the financiservices sector performewell, it is the technology sector performanthprovithe largest contribution to the excess return of the portfolio. C is incorrect. The cision to unrweight the consumer goo sector negatively affectethe excess return (–0.15%), whiis not a benefit. b的health care sector因为benchmark表现不如组合平均,所以如果用BH模型来看,其实是beneficiary,但是也理解老师所讲解的这道题的理解思路为因为health care整体收益为正,所以低配就not beneficiary。有一道类似的原版书课后题就是在问对不同国家allocation的效果所给组合带来的影响,就考虑了不同板块benchmark的收益与组合平均收益间的大小关系。请问考试的时候应该怎么区分到底从哪个角度出发呢?硬要说的话就是a和c错的更彻底,b还有一个不同理解角度出发的回旋余地。。

2024-07-28 15:34 1 · 回答

NO.PZ202206140600000203 问题如下 In the scussion between McNeil anhis colleague about the portfolio performanshown in Exhibit 1, the most accurate statement is: A.Statement 1. B.Statement 2. C.Statement 3. SolutionB is correct. The cision to unrweight the health care sector wnot beneficial, because the allocation contribution to the excess return is negative (–0.16%). A is incorrect. Although the financiservices sector performewell, it is the technology sector performanthprovithe largest contribution to the excess return of the portfolio. C is incorrect. The cision to unrweight the consumer goo sector negatively affectethe excess return (–0.15%), whiis not a benefit. 老师,下午好,请问,c为什么是错的,低配它的结果,确实是给组合的净收益带来了0.41%的正收益哎?

2024-01-27 15:25 2 · 回答