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saimeiei · 2020年03月16日

问一道题：NO.PZ201909300100000306

  1. CFA III
  2. Trading&Performance

* 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 = (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。

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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

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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