问题如下:
7. Based on the data in Exhibit 2, which fund is most sensitive to the combined surprises in inflation and GDP growth in Exhibit 3?
选项:
A.Fund A
B.Fund B
C.Fund C
解释:
A is correct.
The effect of the surprises in inflation and GDP growth on the returns of the three funds is calculated as the following.
The combined effects for the three funds are the following.
A 0.10% + (–0.50%) = –0.40%
B 0.32% + (0.00%) = 0.32%
C 0.20% + (–0.55%) = –0.35%
Therefore, Fund A is the most sensitive to the surprises in inflation and GDP growth in Exhibit 3
考点:macroeconomic model
解析:题目问的是两个因子合并起来对fund return的影响,所以分别计算surprise和 factor sensitivity乘积,再相加。
A:0.5 × 0.2%+1.0 × –0.5% =–0.40%
B:1.6 × 0.2%+0.0 × –0.5%=0.32%
C:1.0 × 0.2%+1.1 × –0.5%=–0.35%
A的绝对值最大,所以选A。
老师,这里和上一题不同之处在于上题明确问了RETURN的影响。这里是SENSITIVITY,是否可以把两个SENSITIVITY FACTOR直接相加?