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Pina · 2021年04月03日

return

* 问题详情，请查看题干

NO.PZ201710100100000402

问题如下：

2. Based on Exhibit 1, the expected active return from asset allocation for Fund X is:

选项：

A.

negative.

B.

zero.

C.

positive.

解释：

B is correct.

Active return from asset allocation is derived from differences between the benchmark weight and the portfolio weight across asset classes. For Fund X, the expected active return from asset allocation is calculated as: Active Return from Asset Allocation =

$sum_{j=1}^M\Delta W_jR_{B,j}\text{=}{(60\text{-}60)}R_{B,e}\text{+}{(40\text{-}40)}R_{B,b}=0$

Where $Delta Wj$ is the difference in the active portfolio and the benchmark asset weights, $R_{B,e}$ is the benchmark’s return from global equities, and $R_{B,b}$ is the benchmark’s return from global bonds. Because Fund X has the same asset weights as the benchmark across the two asset classes (60% global equities, 40% global bonds), the expected active return from asset allocation is zero.

考点：Decomposition of Value Added

解析：注意题干“active return from asset allocation”。代入公式

$sum_{j=1}^M(w_{p,j}-w_{B,j})R_{B,j}=(60\%-60\%)R_{B,j}+(40\%-40\%)R_{B,j}=0$

老师好这题如果只求active return, 是否就可以用expect return直接相减？10%-9.4%？谢谢。

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星星_品职助教 · 2021年04月03日

同学你好，

可以直接相减。但这样过于简单，这么考的可能性不高。

考察画矩形计算asset allocation/security selection的可能性更大一些

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zero. positive. B is correct. Active return from asset allocation is rivefrom fferences between the benchmark weight anthe portfolio weight across asset classes. For FunX, the expecteactive return from asset allocation is calculateas: Active Return from Asset Allocation = sumj=1MΔWjRB,j=(60-60)RB,e+(40-40)RB,b=0sum_{j=1}^M\lta W_jR_{B,j}\text{=}{(60\text{-}60)}R_{B,e}\text{+}{(40\text{-}40)}R_{B,b}=0sumj=1MΔWjRB,j=(60-60)RB,e+(40-40)RB,b=0 Where ltaWjlta WjltaWj is the fferenin the active portfolio anthe benchmark asset weights, RB,eR_{B,e}RB,e is the benchmark’s return from globequities, anRB,bR_{B,b}RB,is the benchmark’s return from globbon. Because FunX hthe same asset weights the benchmark across the two asset classes (60% globequities, 40% globbon), the expecteactive return from asset allocation is zero. 考点composition of Value Ae解析注意题干“active return from asset allocation”。代入公式 sumj=1M(wp,j−wB,j)RB,j=(60%−60%)RB,j+(40%−40%)RB,j=0sum_{j=1}^M(w_{p,j}-w_{B,j})R_{B,j}=(60\%-60\%)R_{B,j}+(40\%-40\%)R_{B,j}=0sumj=1M(wp,j−wB,j)RB,j=(60%−60%)RB,j+(40%−40%)RB,j=0最后一行的Portfolio weight SR 是什么意思？

2020-03-01 20:26 1 · 回答

既然expereturn都直接给了，为什么不用expereturn直接相减？10%-9.4%？

2018-01-30 16:55 1 · 回答

这题如果用SRP²=SRB²+IR² 不是应该选C吗

2017-11-25 23:21 3 · 回答