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soloversion · 2021年04月01日

用老师矩形算法，为什么感觉不对呢

  1. CFA III
  2. Equity

NO.PZ2019012201000065

问题如下：

Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:

选项：

A.

3%

B.

81%

C.

87%

解释：

The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:


Where

CVmarket factor = contribution of the market factor to total portfolio variance

xmarket factor = weight of the market factor in the portfolio

xj = weight of factor j in the portfolio

Cmf,j = covariance between the market factor and factor j

The variance attributed to the market factor is as 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 = 0.001223

The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:

Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2

Portion of total portfolio risk explained by the market factor = 87%


老师讲的还要开平方，这个题目没有开平方，而且还有2者相关性啊。这个题目也没给啊

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2 个答案

maggie_品职助教 · 2021年04月02日

嗨，努力学习的PZer你好：


加油哈~

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

maggie_品职助教 · 2021年04月02日

嗨，努力学习的PZer你好：


1.   我去听了你截图的这个视频（强化班），并没有涉及开方问题啊，你说的是不是总风险？这道题题目给的是标准差，而我们要计算的是segamaP的平方。方差和标准差都可以用来衡量风险，但是在三级权益计算组合风险贡献度时公式确实是方差。

2.   这道题不需要相关性这个数据了，表格里给了方差和协方差的数据：  

Variance of the market factor return and covariances with the market factor return，以“and”为界，前半句是市场风险的方差（即第一行第一个格子），后半句是市场风险和其他风险因子的协方差（即第一行后面三个格子，注意这里是4个资产的组合）。如下图所示：

注意要计算市场风险因子在组合中的风险，还需要乘以每个因子的权重即表格第一行（coefficient）。

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努力的时光都是限量版，加油！

soloversion · 2021年04月02日

懂了谢谢，我看题不仔细，没注意给的是market variance ,其他都是covarance

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