问一道题：NO.PZ201710100100000402 第2小题 [ CFA II ]

B.

zero.

C.

positive.

解释：

B is correct.

Active return from asset allocation is derived from differences between the benchmark weight and the portfolio weight across asset classes. For Fund X, the expected active return from asset allocation is calculated as: Active Return from Asset Allocation =

$sum_{j=1}^M\Delta W_jR_{B,j}\text{=}{(60\text{-}60)}R_{B,e}\text{+}{(40\text{-}40)}R_{B,b}=0$

Where$Delta Wj$ is the difference in the active portfolio and the benchmark asset weights, $R_{B,e}$ is the benchmark’s return from global equities, and $R_{B,b}$ is the benchmark’s return from global bonds. Because Fund X has the same asset weights as the benchmark across the two asset classes (60% global equities, 40% global bonds), the expected active return from asset allocation is zero.

考点：Decomposition of Value Added

解析：注意题干“active return from asset allocation”。代入公式

$sum_{j=1}^M(w_{p,j}-w_{B,j})R_{B,j}=(60\%-60\%)R_{B,j}+(40\%-40\%)R_{B,j}=0$