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学习王 · 2024年04月22日

疑问

  1. CFA III
  2. Equity

NO.PZ2019012201000065

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：

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%

什么是variance of the market factor return and covariances with the market factor return？

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2 个答案

笛子_品职助教 · 2024年04月26日

嗨，爱思考的PZer你好：


coefficient 也叫beta，也代表farma french里的b对吗

market因子的coefficient，也是BETA。

同学理解正确。

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笛子_品职助教 · 2024年04月22日

嗨，努力学习的PZer你好：


什么是variance of the market factor return and covariances with the market factor return？

Hello，亲爱的同学~

variance of the market factor return 是指market因子的方差。

covariances with the market factor return是指其他因子与market因子的协方差。


例如：

market因子与market因子的协方差 = market因子的方差 = 0.00109

size因子与market因子的协方差 = 0.00053.




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三年小马哥 · 2024年05月18日

老师，这里的weekly standard deviation 为什么不用年化呢

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