问题如下:
Based on the following table, please calculate the valued added from security selection:
选项:
A.3.2%
B.6.5%
C.5.6%
解释:
C is correct.
考点:value added的分解,security selection =Wp*(Rp-RB)
解析:这部分的收益是因为即使和benchmark买的资产和行业一样,但是选股选的更牛,所以组合的收益率比benchmark的收益率更高,代入公式具体计算:
老师请问,这题求value added又没有说明是求security selection, value added讲义不是指Active Return=Rp-Rb?