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Shawnxz · 2024年07月19日

在评价effect的时候，不知道拿什么和什么对比？请问这里有解题思路+理论依据吗？

  1. CFA III
  2. Trading&Performance

NO.PZ2022122701000020

问题如下：

In preparation for the attribution analysis, Weiss collects the country weights and returns for the Fund and the benchmark for the last year. He proceeds to evaluate the impact of allocation and selection decisions as detailed in Exhibit 1.



Calculate the allocation, selection and interaction effects for both Japan and the Fund. Discuss briefly the allocation and selection effects for each of the individual countries and for the overall Fund.

选项：

解释：

Parameter calculations

Allocation = (wi–Wi)*(Bi–B)

Selection = Wi *(Ri–Bi)

Interaction = (wi–Wi)* (Ri–Bi)

For Japan

Allocation = (7% – 5%) * (3.2% – 12%) = –0.18%

Selection = 5% * (1.3% – 3.2%) = –0.10%

Interaction = (7% – 5%) * (1.3% – 3.2%) = –0.04%.

For the Fund:

Incorporating the allocation, selection and interaction effects of Japan (calculated above) with the other countries’ data given in Exhibit 1, we obtain:

Allocation = –2.02%

Selection = 1.96%

Interaction = 0.07%


At the overall Fund level, selection and interaction outperformance was nullified by allocation underperformance. The Fund did not experience excess return compared to the benchmark.

在评价effect的时候，不知道拿什么和什么对比？请问这里有解题思路+理论依据吗？

在视频里，看到有拿Rpi和Rbi对比的，也有Wbi和Wb对比的，那为什么不可以拿Rpi和Rb对比呢？

以后类似的题型中，我应该选择什么参数对比呢？谢



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吴昊_品职助教 · 2024年07月22日

嗨，努力学习的PZer你好：


一、本道题的思路：

1、先计算出Japan和Fund的selection以及interaction。也就是分别求出Japan和Fund的各自三块矩形面积。

allocation effects for Japan =（7%-5%）*（3.2%-12%）=-0.176%

selection effects for Japan =5%*（1.3%-3.2%）=-0.095% 

interaction effects for Japan =（7%-5%）*（1.3%-3.2%）=-0.038%

allocation effects for the Fund. =-0.176%-0.96%-0.6%-0.09%-0.2%=2.026%

selection effects for the Fund. =-0.095%+0.33%+0.6%+0.56%+0.56%=1.955%

interaction effects for the Fund. =-0.038%-0.13%+0.24%-0.14%+0.14%=0.072%

2、描述一下各个国家的allocation and selection effects是正是负即可。

selection effect for all countries expect for Japan is positive，but for Japan is negative.

allocation effect for every individual country is negative, so allocation effect for the overall fund is negative.


二、关于三个effect。由于我们三个部分就对应三块矩形面积，我们只要能标注出每一个参数，长乘宽即可得到每一个effect的数值。

为什么不能拿Rpi和Rb做比较？Rpi和Rb，这两个是纵轴的最高点和最低点，两者相减无法组成任何一个矩形的宽。所以我们不会拿Rpi和Rb做比较。

选择参数：如果看到overweight或者underweight字样，就说明和权重相关，考察的就是allocation effect。其余两个effect，题目会直接说，让我们求哪个effect，就列哪一块矩形面积即可。

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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！

Shawnxz · 2024年07月25日

谢谢 回答超级好

吴昊_品职助教 · 2024年07月25日

嗨，从没放弃的小努力你好：


不谢。

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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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