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sabrinamao · 2020年03月07日

问一道题:NO.PZ201909300100000202

* 问题详情,请 查看题干

问题如下:

2 The most appropriate risk attribution approach for the fixed-income manager is to:

选项:

A.

decompose historical returns into a top-down factor framework.

B.

evaluate the marginal contribution to total risk for each position.

C.

attribute tracking risk to relative allocation and selection decisions.

解释:

C is correct.

The portfolio is managed against a benchmark, which indicates a relative-risk type of risk attribution analysis. For a top-down investment approach, the analysis should attribute tracking risk to allocation and selection decisions relative to the benchmark.

麻烦讲解一下这道题思路 谢谢

1 个答案

星星_品职助教 · 2020年03月08日

同学你好,

这道题用排除法做就行。A选项是对return的分解,直接排除。B、C选项中,题干中给了top-down,如果是top down的话就不能是“marginal contribution....for each POSITION”。C选项符合top-down的定义.