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。