Ausilio · 2024年05月28日
* 问题详情，请 查看题干
NO.PZ201909300100000305
问题如下：
5 Based on Exhibit 2, the allocation effect for South America is closest to:
选项：
A.-0.04%
0.03%
0.20%
解释：
C is correct.
The allocation effect for South America is 0.20%.
Allocation = (wi – Wi)(Bi – B) = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20%
Macro的公式是（Rbi-Rb），Micro的公式是（Rb-0），题干不是已经说了用Micro算得么？为什么答案还是（Rbi-Rb）呢？单纯是因为没有Micro那个公式的选项么？
吴昊_品职助教 · 2024年05月28日
嗨，爱思考的PZer你好：
两个表格之间，明确说是micro attribution。所以肯定不是宏观归因。但是宏观归因和BF model的公式是一样的。
1、如果题目明确考查的是宏观模型或BF model，那么用的是Rb；如果明确考查的是BHB model，那么用0。
2、如果题目没有明确是啥模型，更多情况用Rb，因为Rb更为精准。
所以如果题目中没有表述清楚用什么模型，我们首选的还是Rb，即首选BF。只有在明确用BHB的时候，才用0.
----------------------------------------------努力的时光都是限量版，加油！
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% 为什么这个allocation公式不行？？
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% 如题
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% 如题
NO.PZ201909300100000305问题如下5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20%为什么用35·26？表里显示的也是benchmark return 啊，为什么当成Rp来用
