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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


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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。

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努力的时光都是限量版,加油!

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2024-07-28 15:34 1 · 回答

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2024-01-27 15:25 2 · 回答