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willhunting · 2023年07月21日

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NO.PZ2023010903000035

问题如下:

Cullen calculates the percentage of River Valley’s excess return that resulted from active factor-weighting decisions.

In Exhibit 1, the percentage of the excess return of the River Valley Fund arising from active factor weighting is closest to:

选项:

A.

18.18%

B.

–0.04%

C.

–0.22%

解释:

The percentage of excess return arising from active factor weighting is 18.18%. In comparing the weights between the fund and the benchmark, the factors with different weights are Growth and Quality. The total contribution to the return caused by active factor weighting is

(Underweighting of the Growth factor + Overweighting of the Quality fac­tor) Total effect

= (–0.24% + 0.20%) ÷ –0.22% = –0.04% ÷ –0.22% = 18.18%.

The funds holding of Momentum securities was less than the benchmarks (24 versus 30), and thus, the fund incurred active security selection risk. But it did not incur active factor risk, since the factor weight is the same as that of the benchmark.

B is incorrect. The candidate did not divide the sum of the difference due to factor weights (–0.04%) by the total effect (–0.22%).

C is incorrect. This is the value of the total effect (–0.22%).

这道题答案很扯,它怎么用近似的数值,如果准确计算应该是16.36%

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笛子_品职助教 · 2023年07月23日

嗨,从没放弃的小努力你好:


这道题答案很扯,它怎么用近似的数值,如果准确计算应该是16.36%


同学理解正确。只能选一个最接近的值。

同学掌握知识点,掌握计算方法就可以了。计算结果不用太过纠结哈。

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努力的时光都是限量版,加油!

tzdsgn · 2023年08月20日

同学是按trading的方法做的 和老师说的不一样

tzdsgn · 2023年08月20日

这道题就是可以按照trading的方法做的 对吧

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NO.PZ2023010903000035问题如下 Cullen calculates the percentage of River Valley’s excess return thresultefrom active factor-weighting cisions.In Exhibit 1, the percentage of the excess return of the River Valley Funarising from active factor weighting is closest to: A.18.18%B.–0.04%C.–0.22% The percentage of excess return arising from active factor weighting is 18.18%. In comparing the weights between the funanthe benchmark, the factors with fferent weights are Growth anQuality. The totcontribution to the return causeactive factor weighting is(Unrweighting of the Growth factor + Overweighting of the Quality fac­tor) Toteffect= (–0.24% + 0.20%) ÷ –0.22% = –0.04% ÷ –0.22% = 18.18%.The funs holng of Momentum securities wless ththe benchmark’s (24 versus 30), anthus, the funincurreactive security selection risk. But it not incur active factor risk, sinthe factor weight is the same thof the benchmark.B is incorrect. The cante not vi the sum of the fferene to factor weights (–0.04%) the toteffe(–0.22%).C is incorrect. This is the value of the toteffe(–0.22%). 老师,这道题的知识点在哪里呢,谢谢

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