问题如下:
6. The surprise in which of the following had the greatest effect on fund returns?
选项:
A. Inflation on Fund B
B. GDP growth on Fund A
C. GDP growth on Fund C
解释:
C is correct.
Surprise in a macroeconomic model is defined as actual factor minus predicted factor. For inflation, the surprise factor is 2.2% – 2.0% = 0.2%; for GDP growth, the surprise factor is 1.0% – 1.5% = –0.5%. The effect on returns is the product of the surprise and the factor sensitivity.
考点:macroeconomic model
解析:一个factor对于Return的影响程度要综合考虑两个方面:一是factor的大小,二是股票对这个factor的敏感程度。因此影响程度要看surprise和 factor sensitivity乘积的绝对值(负值代表负面影响)。
A选项:1.6 × 0.2% = 0.32%
B选项:1.0 × –0.5% = –0.50%
C选项:1.1 × –0.5% = –0.55%
所以C选项对fund return的影响最大。
老师您好,这个effect不需要考虑在整个return中占的比重么