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Stella · 2024年07月28日

请解释一下C选项

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202206140600000104

问题如下：

Autland Quantitative Case Scenario

Timmon begins by asking Richard to explain how and when risk enters into the performance evaluation process. Richard answers that risk is considered only within performance appraisal, which determines the quality of a fund manager’s performance.

Timmon then asks Richard why holdings-based attribution can generate a residual term between the portfolio performance and benchmark performance. Richard responds that the residual term cannot be explained by an action taken by the fund manager, but it could result from transactions occurring more frequently than the holdings assessments for the fund.

Timmon states that AQI often uses the Brinson model with an interaction term for attribution purposes and asks Richard how the Brinson model incorporates fund manager sector weights and benchmark portfolio sector weights.

Next, Timmon discusses how AQI considers risk allocation based on sector allocation followed by within-sector security selection. She clarifies that the risk assessment is relative to a benchmark and states that AQI is always looking for ways to improve the explanation of the process to potential clients.

Timmon asks Richard to identify circumstances under which using a benchmark for performance assessment would be challenging. Richard responds that it is usually difficult to find an appropriate benchmark for hedge funds. Despite hedge funds generally holding liquid assets that can be readily valued, the individual investment strategies of funds are unique to the individual fund, making it difficult to find an appropriate peer group.

Timmon concludes the interview by asking Richard whether there is a particular appraisal measure that he prefers. Richard describes a ratio that computes the expected return on an investment less a target return divided by a standard deviation measurement that is based on performance below the target return.

Question
An improvement in the explanation of AQI’s risk assessment process to a client is most likely to include that the:

选项：

A.assessment is a bottom-up approach. B.fund manager’s risk assessment is the tracking risk relative to the benchmark. C.fund manager’s risk assessment incorporates only risk associated with security selection.

解释：

Solution

B is correct. AQI considers risk allocation based on sector allocation followed by within-sector security selection, which is a top-down approach. Because the assessment is relative to a benchmark, tracking risk relative to the benchmark is how the fund manager’s risk assessment is measured.

A is incorrect. AQI considers risk allocation based on sector allocation followed by within-sector security selection, which is a top-down approach.

C is incorrect. Fund manager sector allocation and security selection both create additional risk relative to the benchmark.

通过b选项过于明显选对了，但是c选项不太明白对应的考点，c说只在security selection情况下产生了风险，但因为是top down的方式，在factor之间进行轮转，所以在allocation方面也有风险产生。请问具体靠的是说明考点呢？

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吴昊_品职助教 · 2024年07月29日

嗨，从没放弃的小努力你好：


这道题考察的是risk attribution。

Top-down 方法：

  • 在这个方法中，基金经理首先做出行业配置（sector allocation）的决定，然后在各个行业内选择具体的证券（security selection）。
  • 行业配置决定了基金在不同行业间的资金分配比例，这本身会带来风险，因为不同行业的表现会有所不同。

风险来源：

  • 行业配置风险：如果某一行业表现不如预期，基金将承受相应的风险。
  • 证券选择风险：即便行业配置正确，具体证券选择错误也会带来风险。

C选项说基金经理的风险评估仅仅包含与证券选择相关的风险（only risk associated with security selection）。这是不正确的，因为：行业配置风险也是基金经理在评估风险时必须考虑的重要部分。行业配置决定了资金在不同行业间的分配，如果某个行业整体表现不佳，即便个别证券表现良好，基金整体也可能会面临风险。因此，C选项错在忽略了行业配置带来的风险，错误地认为基金经理的风险评估仅仅涉及证券选择风险。实际上，基金经理必须同时考虑行业配置风险和证券选择风险。

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NO.PZ202206140600000104 问题如下 improvement in the explanation of AQI’s risk assessment process to a client is most likely to inclu ththe: A.assessment is a bottom-up approach. B.funmanager’s risk assessment is the tracking risk relative to the benchmark. C.funmanager’s risk assessment incorporates only risk associatewith security selection. SolutionB is correct. AQI consirs risk allocation baseon sector allocation followewithin-sector security selection, whiis a top-wn approach. Because the assessment is relative to a benchmark, tracking risk relative to the benchmark is how the funmanager’s risk assessment is measure A is incorrect. AQI consirs risk allocation baseon sector allocation followewithin-sector security selection, whiis a top-wn approach.C is incorrect. Funmanager sector allocation ansecurity selection both create aitionrisk relative to the benchmark. Timmon scusses how AQI consirs risk allocation baseon sector allocation followewithin-sector security selection. She clarifies ththe risk assessment is relative to a benchmark anstates thAQI is always looking for ways to improve the explanation of the process to potenticlients.这段话语言很晦涩，怎么理解，另外如何与讲义上Risk attribution 部分联结起来解题？

2024-01-31 16:16 1 · 回答