NO.PZ202207040100000602
问题如下：
In Exhibit 1, the percentage of the excess return of the River Valley Fund arising from active factor weighting is closest to:
选项：
A.18.18%.
B.–0.04%.
C.–0.22%.
解释：
Solution
A is correct. The percentage of excess return arising from active factor weighting is 18.18%. In comparing the weights between the fund and the benchmark, the factors with different weights are Growth and Quality. The total contribution to the return caused by active factor weighting is
(Underweighting of the Growth factor + Overweighting of the Quality factor) ÷ Total effect
= (–0.24% + 0.20%) ÷ –0.22% = –0.04% ÷ –0.22% = 18.18%.
The fund’s holding of Momentum securities was less than the benchmark’s (24 versus 30), and thus, the fund incurred active security selection risk. But it did not incur active factor risk, since the factor weight is the same as that of the benchmark.
B is incorrect. The candidate did not divide the sum of the difference due to factor weights (–0.04%) by the total effect (–0.22%).
C is incorrect. This is the value of the total effect (–0.22%).
中文解析：
本题考查的是指数投资组合excess return归因分析。这道题目要求我们计算River
Valley基金的超额收益中，来自主动因子加权决策的比例。根据Exhibit 1的数据显示，River
Valley基金与基准投资组合在不同因子的权重和回报上存在差异。我们需要分析这些差异对超额收益的贡献。
正确答案是A。计算超额收益中来自主动因子加权的比例，需要首先确定因子权重的差异对收益的贡献。从表格中可以看到，River Valley基金与benchamrk的权重差异主要集中在“成长”和“质量”因子上。
1. 在成长因子上，River Valley基金的权重为22%，低于基准的25%，所以有一个-0.24%的贡献。
2. 在质量因子上，River Valley基金的权重为29%，高于基准的26%，贡献为+0.20%。
将这些差异相加，得到总贡献为-0.04%。将这个差异除以总超额收益（-0.22%），我们得到比例：-0.04% ÷ -0.22% = 18.18%。因此，来自主动因子加权的超额收益占比是18.18%。
选项B（-0.04%）错误，因为这是因子加权的差异，而不是超额收益中来自因子加权的比例。
选项C（-0.22%）错误，因为这是总的超额收益，而不是因子加权的贡献。
问题是the percentage of the excess return of the River Valley Fund arising from active factor weighting is closest to，我理解是超额收益中来自于分配权重的部份，用基金权重和benchmark的差乘benchmark的return，然后加总，选B，好像这类问题有时候要除分母，有时候又是看绝对的数值，请问怎样区分呢？