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Ausilio · 2024年05月28日

关于security selection

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ201909300100000307

问题如下：

7 Based on Exhibit 2, the underperformance at the overall fund level is predominantly the result of poor security selection decisions in:

选项：

A.

South America.

B.

greater Europe.

C.

developed Asia and Australasia.

解释：

A is correct.

The total –441 bps of underperformance from security selection and interaction at the overall fund level is predominantly the result of poor South American security selection decisions (–311 bps = 3.11%).

Allocation = (wi – Wi)(Bi – B)
North America = (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%
Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%
Developed Asia and Australasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%
South America = (20.38% – 18.82%)(35.26% – 22.67%) = 0.20%

Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi)

North America = 7.67%(16.50% – 16.47%) + (10.84% – 7.67%)(16.50% – 16.47%) = 0.00%

Greater Europe = 42.35%(23.16% – 25.43%) + (38.92% – 42.35%)(23.16% – 25.43%) = –0.88%
Developed Asia and Australasia = 31.16%(11.33% – 12.85%) + (29.86% – 31.16%)(11.33% – 12.85%) = –0.45%
South America = 18.82%(20.00% – 35.26%) + (20.38% – 18.82%)(20.00% – 35.26%) = –3.11%

老师好，这道题不是让求security selection吗？但是我看答案算的是interaction的影响啊？是我什么地方理解错了吗？

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1 个答案

吴昊_品职助教 · 2024年05月28日

嗨，从没放弃的小努力你好：


这道题来自原版书课后题，确实在表述上不是太严谨。按照题干security selection，确实应该只算selection部分。原版书的讲解，宏观归因把selection和interaction混在一起，宏观归因中，选股和交叉项是由manager决定的，而allocation是sponsor决定的。所以才导致有了S+I的情况。

回到本题，只算security selection的部分，不考虑interaction的话，也是south America最大，本身不会改变题目最后的结果。

Greater Europe = 42.35%(23.16% – 25.43%)= -0.96%；South America = 18.82%(20.00% – 35.26%)= -2.87%；Developed Asia and Australasia = 31.16%(11.33% – 12.85%) = -0.47%

同学不用太过担心，考试的时候题目的表述一定会更严谨的，不会在这些地方confuse我们。题干让我们求S我们就求S，题干让我们S+I，我们再算S+I.

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ201909300100000307 问题如下 7 Baseon Exhibit 2, the unrperformanthe overall funlevel is preminantly the result of poor security selection cisions in: A.South Americ B.greater Europe. C.velopeAsia anAustralasi A is correct. The tot–441 bps of unrperformanfrom security selection aninteraction the overall funlevel is preminantly the result of poor South Americsecurity selection cisions (–311 bps = 3.11%).Allocation = (wi – Wi)(– B)North Ameri= (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%velopeAsia anAustralasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%South Ameri= (20.38% – 18.82%)(35.26% – 22.67%) = 0.20%Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi) North Ameri= 7.67%(16.50% – 16.47%) + (10.84% – 7.67%)(16.50% – 16.47%) = 0.00%Greater Europe = 42.35%(23.16% – 25.43%) + (38.92% – 42.35%)(23.16% – 25.43%) = –0.88%velopeAsia anAustralasia = 31.16%(11.33% – 12.85%) + (29.86% – 31.16%)(11.33% – 12.85%) = –0.45%South Ameri= 18.82%(20.00% – 35.26%) + (20.38% – 18.82%)(20.00% – 35.26%) = –3.11% 题意翻译到底哪个板块的equity selection不好导致最终结果表现很差，那不应该是选selection部分负的最大的那一个板块吗？为什么选了唯一一个selection板块是正回报的？

2024-11-08 11:22 1 · 回答

NO.PZ201909300100000307问题如下7 Baseon Exhibit 2, the unrperformanthe overall funlevel is preminantly the result of poor security selection cisions in:A.South America.B.greater Europe.C.velopeAsia anAustralasia.A is correct. The tot–441 bps of unrperformanfrom security selection aninteraction the overall funlevel is preminantly the result of poor South Americsecurity selection cisions (–311 bps = 3.11%).Allocation = (wi – Wi)(– B)North Ameri= (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%velopeAsia anAustralasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%South Ameri= (20.38% – 18.82%)(35.26% – 22.67%) = 0.20%Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi) North Ameri= 7.67%(16.50% – 16.47%) + (10.84% – 7.67%)(16.50% – 16.47%) = 0.00%Greater Europe = 42.35%(23.16% – 25.43%) + (38.92% – 42.35%)(23.16% – 25.43%) = –0.88%velopeAsia anAustralasia = 31.16%(11.33% – 12.85%) + (29.86% – 31.16%)(11.33% – 12.85%) = –0.45%South Ameri= 18.82%(20.00% – 35.26%) + (20.38% – 18.82%)(20.00% – 35.26%) = –3.11%可是老师表2上方有说明是用Micro的 “constructing a region-basemicro attribution analysis to evaluate the active cisions of the portfolio manager. ” 为什么您说是Macro的呢？怎么识别呢？如若是Micro的是不是只求S的公式就可以，不用加上I？

2024-01-01 10:58 1 · 回答

不好意思请问根据Brinson公式，不是allocation是weight的差别，selection是return的差别吗？这道题问selection是不是要用return的差别乘以benchmark 的weight来算？

2020-10-30 12:07 2 · 回答