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粉红豹 · 2020年02月17日

问一道题：NO.PZ201909300100000306

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

问题如下：

6 Based on Exhibit 2, the decision to overweight or underweight which of the following regions contributed positively to performance at the overall fund level?

选项：

A.

North America

B.

Greater Europe

C.

Developed Asia and Australasia

解释：

C is correct.

The decision to underweight developed Asia and Australasia was a good one because the benchmark for this region underperformed the total benchmark (12.85% versus 22.67%). Alternatively, the question can be answered by calculating the allocation effects for the three regions, as follows:
Allocation = (wi – Wi)(Bi – B)
North America = (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%
Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%
Developed Asia and Australasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%

Developed Asia and Australasia is the only region of the three that had a positive allocation effect.

benchmark 22.67%是哪里来的？为什么不能用exhibit 2中最后一列的benchmark return，如果按照这个的话，三个选项都对。

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1 个答案

星星_品职助教 · 2020年02月18日

同学你好，

22.67%是Exhibit 2中最右下角的数字。也就是(wi – Wi)(Bi – “B”)里面最后的那个“B”，这个是总的benchmark的return，是由上面的四项分区域的benchmark return加权平均得到的。

上面的16.47%那四项只是分别的单独一个区域的benchmark。就相当于投了四个行业，每个行业都有一个行业平均，但是最后代入模型公式的是那个总平均。

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NO.PZ201909300100000306 问题如下 6 Baseon Exhibit 2, the cision to overweight or unrweight whiof the following regions contributepositively to performanthe overall funlevel? A.North Ameri B.Greater Europe C.velopeAsia anAustralasi C is correct. The cision to unrweight velopeAsia anAustralasia wa gooone because the benchmark for this region unrperformethe totbenchmark (12.85% versus 22.67%). Alternatively, the question canswerecalculating the allocation effects for the three regions, follows:Allocation = (wi – Wi)(– B)North Ameri= (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%velopeAsia anAustralasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%velopeAsia anAustralasia is the only region of the three thha positive allocation effect. 题目问的是the cision to overweight or unrweight whi，是要决定权重，为什么还要乘以权重看？题目问法感觉不严谨

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为何不能用Brinson Mol算呢？结果是A是正的影响。

2020-11-25 20:25 1 · 回答

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2020-03-29 12:01 1 · 回答

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2020-03-16 19:21 1 · 回答

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