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Shawnxz · 2023年08月24日

这题为什么要用BF模型计算呢,如果用BHB模型可以吗?

NO.PZ2022122701000020

问题如下:

In preparation for the attribution analysis, Weiss collects the country weights and returns for the Fund and the benchmark for the last year. He proceeds to evaluate the impact of allocation and selection decisions as detailed in Exhibit 1.



Calculate the allocation, selection and interaction effects for both Japan and the Fund. Discuss briefly the allocation and selection effects for each of the individual countries and for the overall Fund.

选项:

解释:

Parameter calculations

Allocation = (wi–Wi)*(Bi–B)

Selection = Wi *(Ri–Bi)

Interaction = (wi–Wi)* (Ri–Bi)

For Japan

Allocation = (7% – 5%) * (3.2% – 12%) = –0.18%

Selection = 5% * (1.3% – 3.2%) = –0.10%

Interaction = (7% – 5%) * (1.3% – 3.2%) = –0.04%.

For the Fund:

Incorporating the allocation, selection and interaction effects of Japan (calculated above) with the other countries’ data given in Exhibit 1, we obtain:

Allocation = –2.02%

Selection = 1.96%

Interaction = 0.07%


At the overall Fund level, selection and interaction outperformance was nullified by allocation underperformance. The Fund did not experience excess return compared to the benchmark.

这题为什么要用BF模型计算呢,如果用BHB模型可以吗?

谢谢

1 个答案
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笛子_品职助教 · 2023年08月25日

嗨,努力学习的PZer你好:


这题为什么要用BF模型计算呢,如果用BHB模型可以吗?

Hello,亲爱的同学~

同学确定这道题是用BF模型计算的吗。

题干中似乎并没有出现Brison、BHB、BF的词汇。



我们看到,Macro Attribution,也是这种算法。

所以这道题,未必是按照BF模型计算的。


这里是指,在各个国家做投资,属于宏观投资层面,因此用宏观归因的方法。

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2024-07-19 17:40 2 · 回答

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