NO.PZ201809170400000504
问题如下:
Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:
选项:
A.3%.
B.81%.
C.87%.
解释:
C is correct.
The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:
Where
CVmarket factor = contribution of the market factor to total portfolio variance
xmarket factor = weight of the market factor in the portfolio
xj = weight of factor j in the portfolio
Cmf,j = covariance between the market factor and factor j
The variance attributed to the market factor is as follows:
CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 × 0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)
CVmarket factor = 0.001223
The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:
Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)^2
Portion of total portfolio risk explained by the market factor = 87%
什么时候求出risk explained by the XXX时要除以portfolio stdev, 什么时候不用?
举个例子,
在画了九宫格以后,求出了 CV (contribution of themarket factor to total portfolio cariance), 有时候就结束了(情况1)
但比如这道题里,还要除以“portfolio standarddeviation of return" =3.74%.“ (情况2)
我的疑问:
请问怎么区分什么时候是情况“1”什么时候情况”2”?