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%
–0.04%
–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 fund’s holding of Momentum securities was less than the benchmark’s (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%