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Junqi · 2020年02月27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%。

strategic asset allocation是benchmark portfolio的weight么？？？这个要怎么分辨？

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2 个答案

丹丹_品职答疑助手 · 2020年07月11日

同学你好，第一次回复的时候有提醒，weight指的是allocation。题干中给的是portfolio allocation就是组合中的权重，即公式中的Wp，请知悉

丹丹_品职答疑助手 · 2020年02月27日

同学你好，本小题考查R47部分关于vaule added部分的拆分。通常我们把超额收益部分即资产收益超过benchmark的部分进行拆分，一部分是通过对benchmark里的各项大类资产（股票、债券类）配有不同权重从而达到的收益，这部分我们叫asset allocation；一部分是通过对各项大类资产内部的各个资产（某只股票、某只债券）进行挑选的能力，这个就是security selection。了解了这部分就方便我们记忆公式。前者是对资产大类权重的配比，后项是具体选股的能力。这部分我们会在三级继续学习，建议同学熟记一下公式。

Junqi · 2020年02月29日

你回复的我知道，我问这题怎么分辨什么是RP,什么是RB

丹丹_品职答疑助手 · 2020年03月01日

同学你好，表格第三列有名称标注是benchmark return

Junqi · 2020年03月02日

你好丹丹，我问的是weight

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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

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？

2020-02-23 22:37 1 · 回答