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
Greater Europe
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 = (wi – Wi)(Bi – B)
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。