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LuckyJack · 2025年01月20日

标准答案是-0.18%；-0.1%；-0.04%；我写-0.18%；-0.095%；-0.038%对吗？

  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.

如题，这样保留三位小数，因为是有限的结果，我保留了全部，会算对吗？

谢谢！

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1 个答案

王暄_品职助教 · 2025年01月21日

对的对的，您的答案没问题，考试时候会算对的

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