问题如下:
Based on the following table, macroeconomic two-factor model:
Analysts also collected information about inflation and GDP growth data:
Which fund is most sensitive to the combined surprises in inflation and GDP growth?
选项:
A.FUND A
B.FUND B
C.FUND C
解释:
A is correct.
考点:Ri = E(R)+surprise*surprise sensitivity
解析:代入公式计算:
从计算结果可以看到,FUND A的surprises加总在一起后是最高的。
老师,这题如果分别计算combined surprises占每个Fund总收益的权重,答案算出来也是Fund A,这样算对不对呢?