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dognmnm · 2023年03月25日

量化风险

  1. CFA III
  2. Trading&Performance

NO.PZ2020020202000004

问题如下：

Risk attribution differs from return attribution in that it:

选项：

A.

is not conducted relative to a benchmark.

B.

quantifies the risk consequences of the investment decisions.

C.

quantifies the investment decisions of the investment manager.

解释：

B is correct.

Risk attribution, unlike return attribution, attempts to quantify the risk consequences of the investment decisions.

A is not correct because risk attribution may be conducted on either an absolute or a relative basis.

C is not correct because risk attribution does not capture the return impact of a manager’s investment decisions.

这题是说风险归因量化了风险, 而业绩归因没有量化风险的意思吗?

c选项怎么理解?

这个题目是不是放错练习题了, 应该放在Performance Attribution吧?

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1 个答案

吴昊_品职助教 · 2023年03月26日

嗨，从没放弃的小努力你好：


这道题考察的是risk attribution（风险归因）和return attribution（收益归因）的区别，让我们选择的是风险归因的特点。但B和C更像是文字游戏，所以个人认为原版书这道题出的不是很好。

B选项quantifies the risk consequences of the investment decisions. 这句话说的是risk attribution的特性，因为只是量化了投资决策中的风险因素。题目让我们选择的是risk attribution的特性，因此选项B正确。

C选项，量化了基金经理的投资决策，因此是既量化了return，也量化了risk，而risk attribution并没有量化return，所以选项C不正确。

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NO.PZ2020020202000004 问题如下 Risk attribution ffers from return attribution in thit: A.is not concterelative to a benchmark. B.quantifies the risk consequences of the investment cisions. C.quantifies the investment cisions of the investment manager. B is correct. Risk attribution, unlike return attribution, attempts to quantify the risk consequences of the investment cisions. A is not correbecause risk attribution mconcteon either absolute or a relative basis. C is not correbecause risk attribution es not capture the return impaof a manager’s investment cisions. investment cision 指的就是仅仅return吗

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NO.PZ2020020202000004 想问下这题目考察的知识点是什么。。。

2021-03-16 21:56 2 · 回答

看了下其他同学的问题还是不明白。 B Risk attribution, unlike return attribution, attempts to quantify the risk consequences of the investment cisions. 这句话怎么 C 为什么错误。

2020-07-20 10:36 2 · 回答