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：
SolutionC 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 = (wi – Wi) × Bi] and the interaction term [Ii = (wi – Wi) × (Ri – Bi)], 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 × (Ri – Bi)].
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.
如果要改正，能否理解为sponsor只影响大类资产的配置，而不影响SECTOR？这个表述的话是否正确？
