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nothing107 · 2020年05月21日

问一道题：NO.PZ201710100100000501

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

问题如下：

1. Based on Exhibit 1, the value added to the diversified asset portfolio attributable to the security selection decision in 2015 was closest to:

选项：

A.

2.3%.

B.

3.9%.

C.

6.1%.

解释：

B is correct.

Based on the differences in returns for the portfolio and benchmark in Exhibit 1, the value added by each asset class within the portfolio is shown in the following table:

The value added from security selection is calculated as the sum of the actual portfolio weights multiplied by each subportfolio’s value added measure. Thus, the value added from security selection is calculated as:

Value added from security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%.

A is incorrect. It represents the value added from asset allocation.

C is incorrect. It represents the total value added (3% + 3.9% = 6.1%).

考点：Decomposition of Value Added

解析：注意题干“value added ... attributable to the security selection”。代入计算公式：

Value added from security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。

表1最后一列strategic asset allocation是什么意思

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1 个答案

丹丹_品职答疑助手 · 2020年05月21日

嗨，爱思考的PZer你好：


同学你好，本题考查对于公式的理解：

strategic asset allocation可以理解为是 benchmark weight，请知悉


-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！


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NO.PZ201710100100000501 3.9%. 6.1%. B is correct. Baseon the fferences in returns for the portfolio anbenchmark in Exhibit 1, the value aeeaasset class within the portfolio is shown in the following table: The value aefrom security selection is calculatethe sum of the actuportfolio weights multiplieeasubportfolio’s value aemeasure. Thus, the value aefrom security selection is calculateas: Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%. A is incorrect. It represents the value aefrom asset allocation. C is incorrect. It represents the totvalue ae(3% + 3.9% = 6.1%). 考点composition of Value Ae解析注意题干“value ae... attributable to the security selection”。代入计算公式 Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。答案中的3%是如何得到的？

2021-02-26 17:01 1 · 回答

3.9%. 6.1%. B is correct. Baseon the fferences in returns for the portfolio anbenchmark in Exhibit 1, the value aeeaasset class within the portfolio is shown in the following table: The value aefrom security selection is calculatethe sum of the actuportfolio weights multiplieeasubportfolio’s value aemeasure. Thus, the value aefrom security selection is calculateas: Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%. A is incorrect. It represents the value aefrom asset allocation. C is incorrect. It represents the totvalue ae(3% + 3.9% = 6.1%). 考点composition of Value Ae解析注意题干“value ae... attributable to the security selection”。代入计算公式 Value aefrom security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。老师好 这题 为什么不能用强化班中 suanvalue ae的第二个算法 sum of （lta weight * 个股return ) , lta weight = weights in portfolio - weights in BM来做？ 于是 active return = 0.03*0.369+ (-0.07)*(-2.4)+0.04*0.334但算出的是 0.0261？谢谢。 

2020-03-05 06:42 1 · 回答

strategic asset allocation是benchmark portfolio的weight么？？？这个要怎么分辨？

2020-02-27 15:34 2 · 回答

请问表格里面最后一列，strategic asset allocation是什么意思？没见过这种表达呢？

2020-02-23 22:37 1 · 回答