问一道题：NO.PZ2019012201000065 [ CFA III ]

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 这题是对应PPT上面哪个考点？没找到

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 请问coefficient是回归系数，为什么代表了每个资产的权重？CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034) 答案中直接用的是coefficient数值作为权重带入计算的是吗

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 问的是portion of totportfolio risk, 为什么不可以把CV=0.001223开根号取Stanrviation的3.4971%， 最后3.4971/3.74=93.51%

NO.PZ2019012201000065问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to:A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87%组合的标准差给的是月度的，这里要不要考虑把标准差年化处理？

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 老师，这题是求CV/portfolio variance，之前有一题问the proportion of totportfolio variancontributeasset 2,是求CV2的，问题都好像，分不清他问CV，还是CV/portfolio variance