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月乔DD · 2020年02月23日

问一道题：NO.PZ201710100100000501

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

问题如下：

1. Based on Exhibit 1, the value added to the diversified asset portfolio attributable to the security selection decision in 2015 was closest to:

选项：

A.

2.3%.

B.

3.9%.

C.

6.1%.

解释：

B is correct.

Based on the differences in returns for the portfolio and benchmark in Exhibit 1, the value added by each asset class within the portfolio is shown in the following table:

The value added from security selection is calculated as the sum of the actual portfolio weights multiplied by each subportfolio’s value added measure. Thus, the value added from security selection is calculated as:

Value added from security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%.

A is incorrect. It represents the value added from asset allocation.

C is incorrect. It represents the total value added (3% + 3.9% = 6.1%).

考点：Decomposition of Value Added

解析：注意题干“value added ... attributable to the security selection”。代入计算公式：

Value added from security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。

请问表格里面最后一列，strategic asset allocation是什么意思？没见过这种表达呢？

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1 个答案

星星_品职助教 · 2020年02月23日

同学你好，

一般不会这么进行表述的，在这里理解成benchmark allocation就可以。

blue · 2020年03月15日

但是答案上是不是把portfolio allocation认为是benchmark allocation了？这里有点不明白

星星_品职助教 · 2020年03月15日

所以说正常不是这么表述的，在这里理解成benchmark allocation就可以

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NO.PZ201710100100000501 3.9%. 6.1%. B is correct. Baseon the fferences in returns for the portfolio anbenchmark in Exhibit 1, the value aeeaasset class within the portfolio is shown in the following table: The value aefrom security selection is calculatethe sum of the actuportfolio weights multiplieeasubportfolio’s value aemeasure. Thus, the value aefrom security selection is calculateas: Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%. A is incorrect. It represents the value aefrom asset allocation. C is incorrect. It represents the totvalue ae(3% + 3.9% = 6.1%). 考点composition of Value Ae解析注意题干“value ae... attributable to the security selection”。代入计算公式 Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。答案中的3%是如何得到的？

2021-02-26 17:01 1 · 回答

表1最后一列strategic asset allocation是什么意思

2020-05-21 08:23 1 · 回答

3.9%. 6.1%. B is correct. Baseon the fferences in returns for the portfolio anbenchmark in Exhibit 1, the value aeeaasset class within the portfolio is shown in the following table: The value aefrom security selection is calculatethe sum of the actuportfolio weights multiplieeasubportfolio’s value aemeasure. Thus, the value aefrom security selection is calculateas: Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%. A is incorrect. It represents the value aefrom asset allocation. C is incorrect. It represents the totvalue ae(3% + 3.9% = 6.1%). 考点composition of Value Ae解析注意题干“value ae... attributable to the security selection”。代入计算公式 Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。老师好 这题 为什么不能用强化班中 suanvalue ae的第二个算法 sum of （lta weight * 个股return ) , lta weight = weights in portfolio - weights in BM来做？ 于是 active return = 0.03*0.369+ (-0.07)*(-2.4)+0.04*0.334但算出的是 0.0261？谢谢。 

2020-03-05 06:42 1 · 回答

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2020-02-27 15:34 2 · 回答