为什么不是C

NO.PZ202207040100000801 问题如下 The Epsilon Institute Case ScenarioThe Epsilon Institute of TheoreticPhysiis a non-profit corporation initially funfrom government anprivate sources. MitLazare is the chairmof the Investment Committee, whioversees the institute’s enwment fun of whiabout $750 million is currently unr active management. He is currently taskewith finng two aitioninvestment managers to manage a portion of the actively managefun an along with his assistant, BriWarrack, is reviewing the presentations ma severapplicants.John Fraser’s performanis the first thLazare anWarrareview. Fraser’s funis constructewith a scretionary approausing the four Fama–Frenfactors; he uses the Russell 1000 Value Inx his benchmark. The most recent 10 years of performanta for both the funanthe benchmark are shown in Exhibit 1.Exhibit 1 Fraser FunanBenchmark Average Monthly Performanover the Past 10 years part of his evaluation of the applicants, Warracompiles a recorof the Active Share anactive risk of the fun ththey manage. He observes ththe Mattley Funhrelatively high Active Share but relatively low active risk. Lazare anWarramake the following comments about Active Share anactive risk in the context of a single-factor mol:The level of active risk will rise with increase in iosyncratic volatility.The active risk attributeto Active Share will smaller in more versifieportfolios.If the factor exposure is fully neutralize the Active Share will entirely attributeto the active risk. The manager of the Western Funfocuses on smaller companies in the Russell 1000 Value Inx anuses the following constraints:Size: The capitalization of the average company is $1.8 billion. On average, companies of this size tra 0.90% of their capitalization every y.Liquity: Positions cno larger th7% of average ily trang volume.Allocation: Positions cno larger th1.75% of totassets unr management.versification: The portfolio must contain least 60 securities.If the manager of the Western Funis hireEpsilon, she will have $100 million of Epsilon’s fun to manage. Lazare anWarraturn their attention to the manager of the HerriFun whiis the only funthinvolves substantiinternationexposure. Lazare believes thcurrent politicevents in Country A mresult in greater risk exposure thmight appropriate anwishes to investigate further.The HerriFunmanager provis them with the information in Exhibit 2, whithey use to carry out a risk attribution analysis. Exhibit 2 The HerriFunRisk Analysis Question Using Exhibit 1, the average monthly return of the Fraser Funthis unexplainerewarfactors is closest to: A.–0.20%. B.–0.17%. C.0.13%. SolutionA is correct. Return from unrewarfactors = Actumonthly performan– Return from rewarfactors.“Alph= RA – ∑βpkFkwhereRA = Actuportfolio performanceβpk = The sensitivity of the portfolio (p) to earewarfactor (k)Fk = The return for earewarfactorReturn from rewarfactors = (0.91 × 0.61%) + (0.15 × 0.17%) + (0.60 × 0.18%) + (0.08 × 0.72%) = 0.75%.“Alph= Return from unrewarfactors = 0.55% – 0.75% = –0.20%.B is incorrect. This is the “active return”: Actu– Benchmark = 0.55% – 0.72% = –0.17%.C is incorrect. This as the risk-free return bato the rewarfactor return = 0.33% – 0.20% = 0.13%.中文解析本题考查的是主动投资收益来源的计算。题目让我们根据表格给出的数据计算Fraser基金的主动投资收益中不能被rewaractors的部分。根据公式我们知道 RA =基金总的超额收益=0.55%(α + ε)=不能被rewarfactors的超额收益(α + ε)= RA – ∑βpkFk，∑βpkFk=可以被rewarfactors的超额收益=(0.91 × 0.61%) + (0.15 × 0.17%) + (0.60 × 0.18%) + (0.08 × 0.72%) =0.75%.因此，(α + ε)= RA – ∑βpkFk = 0.55% – 0.75% = –0.20%，A正确。 XR不是和benchmark比较嘛？为什么直接用excess return with Rf了很奇怪，如果我从totreturn角度来想，R=rf+factor+alpha，能说通，但是我们一直学的XR不是针对benchmark的嘛，xr包含alpha skill和factor weighting，到底问题出在哪里呢