问题如下:
Based on the following table, please calculate the valued added from asset allocation:
选项:
A.3%
B.2.5%
C.0.2%
解释:
C is correct.
考点:value added的分解,asset allocation =RB*(Wp-WB)
解析:就算组合的整个资产类别获得的收益率和Benchmark 一样,但是由于选行业选的特别的准,涨的好的行业买的权重多,就会导致超额回报。具体计算过程如下:
老师好 这题为什么不能用求value added的方法三, sum of delta weight * delta return = (0.15*0.1)+(-0.05*0.04)+(-0.1*-0.03)=1.6%
delta weight 用portfolio's weight - benchmark's weight, delta return = portfolio's return - benchmark's return 求出。 谢谢