向雨潇 · 2022年04月20日
* 问题详情，请 查看题干
NO.PZ201909300100000305
问题如下：
5 Based on Exhibit 2, the allocation effect for South America is closest to:
选项：
A.-0.04%
0.03%
0.20%
解释：
C is correct.
The allocation effect for South America is 0.20%.
Allocation = (wi – Wi)(Bi – B) = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20%
为什么用35·26？表里显示的也是benchmark return 啊，为什么当成Rp来用
吴昊_品职助教 · 2022年04月21日
嗨，努力学习的PZer你好：
表格的画绿色框的两列加权平均可以得到22.67%，16.47%×7.67%+25.43%×42.35%+12.85%×31.16%+35.26%×18.82%=22.67%，这个22.67%才是benchmark return。
最后一列前四个是每一个region的return，即Bi，乘上它们各自在benchmark中的权重，加权平均后得到的就是Benchmark return，即B， 然后把具体数值代入公式(wi – Wi)(Bi – B)即可。
----------------------------------------------就算太阳没有迎着我们而来，我们正在朝着它而去，加油！
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% Macro的公式是（Rbi-Rb），Micro的公式是（Rb-0），题干不是已经说了用Micro算得么？为什么答案还是（Rbi-Rb）呢？单纯是因为没有Micro那个公式的么？
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% 为什么这个allocation公式不行？？
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% 如题
NO.PZ201909300100000305 问题如下 5 Baseon Exhibit 2, the allocation effefor South Ameriis closest to: A.-0.04% B.0.03% C.0.20% C is correct. The allocation effefor South Ameriis 0.20%.Allocation = (wi – Wi)(– = (20.38% – 18.82%)(35.26 – 22.67%) = 0.1964% = 0.20% 如题
