问题如下：
5. Based on the data in Exhibits 2 and 3, the return for Portfolio AC, given the surprises in inflation and GDP growth, is closest to:
选项：
A.2.02%.
B.2.40%.
C.4.98%
解释：
A is correct.
The macroeconomic two-factor model takes the following form:
where FINF and FGDP represent surprises in inflation and surprises in GDP growth, respectively, and ai represents the expected return to asset i. Using this model and the data in Exhibit 2, the returns for Fund A and Fund C are represented by the following:
RA = 0.02 + 0.5FINF + 1.0FGDP + εA RC = 0.03 + 1.0FINF + 1.1FGDP + εc
Surprise in a macroeconomic model is defined as actual factor minus predicted factor. The surprise in inflation is 0.2% (= 2.2% – 2.0%). The surprise in GDP growth is –0.5% (= 1.0% – 1.5%). The return for Portfolio AC, composed of a 60% allocation to Fund A and 40% allocation to Fund C, is calculated as the following:
RAC = (0.6)(0.02) + (0.4)(0.03) + [(0.6)(0.5) + (0.4)(1.0)](0.002)+ [(0.6)(1.0) + (0.4)(1.1)]( –0.005) + 0.6(0) + 0.4(0) = 2.02%
考点：macroeconomic model
解析：
已知Zapata使用的是含有inflation和GDP growth两因子的宏观经济模型，所以写出模型公式：Ri = ai + bi1 F INF + bi2 F GDP + εi
题干又给出zero value for the error terms的信息，所以ε
RA = 0.02 + 0.5FINF + 1.0FGDP
RC = 0.03 + 1.0FINF + 1.1FGDP
根据表3，FINF = 2.2% – 2.0%=0.2%， FGDP= 1.0% – 1.5%= –0.5%.
RA =1.6%
RC =2.65%
Portfolio AC=60%A+40%C=60%*1.6%+40%*2.65%=2.02%
为啥用forecast和actual value 的相减？
相关知识点参见R44 macro factor models