开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Pina · 2020年03月05日

问一道题:NO.PZ201710100100000501 第1小题 [ CFA II ]

* 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%。

老师好 这题 为什么不能用强化班中 suanvalue added 的第二个算法: sum of (Delta weight * 个股return ) , delta 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。 
Pina · 2020年03月05日

老师好, 这题搞懂了。 不用回答了。 谢谢。

1 个答案
已采纳答案

丹丹_品职答疑助手 · 2020年03月05日

同学你好,本题考查value add的拆分,第一项是asset allocation带来的收入,第二项是secuirity selection带来的,题干明显要求security selection,所以用上述公式,同学你的做法是求asset allocation的收益部分请知悉。