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山风泽笑 · 2021年02月26日

请问是否可以解释一下答案中的3%（value added from asset allocation)是如何得到的？

  1. CFA II
  2. Portfolio

* 问题详情，请 查看题干

NO.PZ201710100100000501

问题如下：

1. Based on Exhibit 1, the value added to the diversified asset portfolio attributable to the security selection decision in 2015 was closest to:

选项：

A.

2.3%.

B.

3.9%.

C.

6.1%.

解释：

B is correct.

Based on the differences in returns for the portfolio and benchmark in Exhibit 1, the value added by each asset class within the portfolio is shown in the following table:

The value added from security selection is calculated as the sum of the actual portfolio weights multiplied by each subportfolio’s value added measure. Thus, the value added from security selection is calculated as:

Value added from security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%.

A is incorrect. It represents the value added from asset allocation.

C is incorrect. It represents the total value added (3% + 3.9% = 6.1%).

考点：Decomposition of Value Added

解析：注意题干“value added ... attributable to the security selection”。代入计算公式：

Value added from security selection = 0.63(5.3%) + 0.28(0.2%) + 0.09(5.1%) = 3.9%。

答案中的3%是如何得到的？
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1 个答案

星星_品职助教 · 2021年02月26日

同学你好，

这道题答案解析的C选项有误，我算了一下，应该是：2.262%+3.854%=6.116%

其中第一项2.262%是三种产品来源于“asset allocation”的超额收益加和（同A选项），即Σ（Wp-Wb）×Rb；

第二项3.854%是三种产品来源于“security selection”的超额收益加和（同B选项），即Σ（Rp-Rb）×Wp。

具体计算画矩形就可以，如果有问题可以继续追问。


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