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陈Shelly · 2020年04月27日

问一道题:NO.PZ2020020202000024 [ CFA III ]

问题如下:

Assume that the Courtland account has a return of -5.3% in a given month, during which the portfolio benchmark has a return of -5.5% and the market index has a return of -2.8%. What is the Courtland account’s return due to the manager’s style?

选项:

A.

-2.7%

B.

0.2%

C.

-2.5%

解释:

A is correct.

The return due to style is S = B – M = –5.5% – (–2.8%) = –2.7%

请问这道题和上一道题是哪个讲义里讲的,有什么区别

1 个答案
已采纳答案

星星_品职助教 · 2020年04月29日

同学你好,

看不到上一道题是什么。S=B-M是benchmark的公式,所有跟这些公式相关的考点都可以参见benchmark考点中的“Components of a Portfolio Return ”

P=M+S+A;S=B-M,P = M + (B-M) + A