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yanan · 2024年10月27日

我怎么算出来是benchmark表现更好啊

NO.PZ2023101902000055

问题如下:

A risk manager runs a performance attribution analysis on an actively managed portfolio using a selected benchmark. The weights and performance of the different market sectors within the portfolio and the benchmark are given below:

What conclusion can be drawn from the data above by using common performance attribution analysis?

选项:

A.The portfolio outperforms the benchmark primarily because of the contribution of asset allocation. B.The portfolio outperforms the benchmark primarily because of the contribution of security selection within market sectors. C.The portfolio underperforms the benchmark primarily because of the contribution of asset allocation. D.The portfolio underperforms the benchmark primarily because of the contribution of security selection within market sectors.

解释:

三个维度,porfolio都差不多输给了benchmark啊

麻烦详细讲解下

1 个答案

pzqa27 · 2024年10月28日

嗨,爱思考的PZer你好:


怎么可能呢,bench mark的总return=20%*8%+50%*4%+30%*2%=4.2%, portfolio的return=40%*6%+55%*5%+5%*3%=5.3%, 如果porfolio都输给了benchmark,portfolio的return总体不会比 benchmark 还高。具体做法可以参考经典题的这个视频的这个位置,李老师用画图的方式很明显的区分了allocation和 selection的区别。


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