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saimeiei · 2020年03月16日

问一道题:NO.PZ201909300100000306

* 问题详情,请 查看题干

问题如下:

6 Based on Exhibit 2, the decision to overweight or underweight which of the following regions contributed positively to performance at the overall fund level?

选项:

A.

North America

B.

Greater Europe

C.

Developed Asia and Australasia

解释:

C is correct.

The decision to underweight developed Asia and Australasia was a good one because the benchmark for this region underperformed the total benchmark (12.85% versus 22.67%). Alternatively, the question can be answered by calculating the allocation effects for the three regions, as follows:
Allocation = (wiWi)(BiB)
North America = (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%
Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%
Developed Asia and Australasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%

Developed Asia and Australasia is the only region of the three that had a positive allocation effect.

老师你好,这道题题目中并没有说要从allocation effect角度来看应该增加或减少某类的权重,李老师讲的是和各个类别的benchmark比较(我理解这是从allocation的角度出发)。为什么不能用各个portfolio return和总的benchmark(22.67)做对比呢,这样看更直接能看出因为投资哪一类别(对比总benchmark)对整体的贡献更大,结果就是只能选developed Asia。

1 个答案

星星_品职助教 · 2020年03月17日

同学你好,

这道题问的是权重已经配置完毕了,然后分析这种配置方法对于整个portfolio的return的影响是怎么样的,并不需要去增加或者减少权重。

只看return是不够的,即便是portfolio的return比benchmark高,但是可能portfolio在这个资产上配置的很少,这样对于总体的return的贡献也不高,所以最终要看的是1. 这个资产的return自身是多少,是不是比benchmark高; 2. 这个资产投资了多少,是不是比benchmark多

星星_品职助教 · 2020年03月27日

按照李老师上课讲解的思路理解即可

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NO.PZ201909300100000306 问题如下 6 Baseon Exhibit 2, the cision to overweight or unrweight whiof the following regions contributepositively to performanthe overall funlevel? A.North Ameri B.Greater Europe C.velopeAsia anAustralasi C is correct. The cision to unrweight velopeAsia anAustralasia wa gooone because the benchmark for this region unrperformethe totbenchmark (12.85% versus 22.67%). Alternatively, the question canswerecalculating the allocation effects for the three regions, follows:Allocation = (wi – Wi)(– B)North Ameri= (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%velopeAsia anAustralasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%velopeAsia anAustralasia is the only region of the three thha positive allocation effect. 题目问的是the cision to overweight or unrweight whi,是要决定权重,为什么还要乘以权重看?题目问法感觉不严谨

2024-07-17 07:30 1 · 回答

为何不能用Brinson Mol算呢?结果是A是正的影响。

2020-11-25 20:25 1 · 回答

Greater Europe velopeAsia anAustralasia C is correct. The cision to unrweight velopeAsia anAustralasia wa gooone because the benchmark for this region unrperformethe totbenchmark (12.85% versus 22.67%). Alternatively, the question canswerecalculating the allocation effects for the three regions, follows: Allocation = (wi – Wi)(– North Ameri= (10.84% – 7.67%)(16.47% – 22.67%) = –0.20% Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09% velopeAsia anAustralasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13% velopeAsia anAustralasia is the only region of the three thha positive allocation effect. 我个人对这道题的理解是就比较Rp-四个行业总的RB,哪一个大就选哪个factor,为什么还要看weight,weight根据题目的意思是可以随意调增调减的

2020-03-29 12:01 1 · 回答

是因为题中问到了overweight或是unrweight,所以是使用allocation这个矩阵来计算并得出结论么? 另外为何题目是overweight或是unrweight这样问呢,感觉不是很严谨,每个则有两种了啊

2020-02-18 12:55 1 · 回答