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NO.PZ202207040100000602 问题如下 Sapphire BFountion Case ScenarioEarCullen aises the boarof rectors of the Sapphire BFountion (Sapphire) regarng all aspects of the investment portfolio of Sapphire’s enwment fun Trationally, Cullen ove the selection of active investment managers for the various asset classes. spite historically ranking well among peers, severof the managers have performebelow the level of their respective benchmarks in the past few years. Cullen’s colleague Paige Stapleton recommen thsome passive management shoulintroceinto Sapphire’s investment mix using pooleinvestments. They agree to introthe ia to Sapphire’s boarits next meeting. the next boarmeeting, Cullen begins introcing passive investing to Sapphire’s boar He states thopen-enmutufun anexchange-trafun (ETFs) are appropriate approaches. Both alternatives are realy available, offer a brospectrum of investment choices, anare easy to buy ansell. He makes the following comments comparing the two alternatives.Both mutufun anETFs cpurchaseon margin.Investors ctake short positions in ETFs but not in mutufun.Both mutufun anETFs have the same gree of liquity.Stapleton then begins a scription of factor-basestrategies. These inclu common equity factors, suvalue, size, anquality, anthey cuseeither in plaof or to complement market-cap-weighteinxing. She points out threlative to market-cweighting, factor-basestrategies tento versify risk exposures; are transparent in terms of factor selection, weighting, anrebalancing; but ccopieother investors, whicrethe aantages of a strategy.Cullen provis Sapphire’s boarwith example comparing the performanof the River Valley Fun a factor-basefun with its benchmark portfolio (Exhibit 1). The funuses benchmark segments of four mutually exclusive sub-categories. Cullen calculates the percentage of River Valley’s excess return thresultefrom active factor-weighting cisions.Exhibit 1 Attribution ta for River Valley FunanBenchmarkFor the large-cUS equity portion of Sapphire’s investment portfolio, Cullen believes ththere are some existing passive inxebasefun thtrathe S P 500 Inx ththe fountion shoulconsir. Cullen presents Exhibit 2 to Sapphire’s boarExhibit 2 S P 500 Inx FunFor the internationportion of the investment portfolio, Stapleton suggests thSapphire invest in MSEAFE inx portfolio specifically tailorefor the fountion rather thinvesting in existing inx fun Anne Rowlan Sapphire’s boarchair, asks her how this coulaccomplishe given ththe initiallocation is only $15 million. Stapleton suggests thSapphire hire a manager to purchase a portfolio of securities thare a mutually exclusive yet comprehensive subgroup of the inx signeto trathe inx return anrisk characteristics. Question In Exhibit 1, the percentage of the excess return of the River Valley Funarising from active factor weighting is closest to: A.18.18%. B.–0.04%. C.–0.22%. SolutionA is correct. The percentage of excess return arising from active factor weighting is 18.18%. In comparing the weights between the funanthe benchmark, the factors with fferent weights are Growth anQuality. The totcontribution to the return causeactive factor weighting is(Unrweighting of the Growth factor + Overweighting of the Quality factor) ÷÷ Toteffect= (–0.24% + 0.20%) ÷ –0.22% = –0.04% ÷ –0.22% = 18.18%.The funs holng of Momentum securities wless ththe benchmark’s (24 versus 30), anthus, the funincurreactive security selection risk. But it not incur active factor risk, sinthe factor weight is the same thof the benchmark. B is incorrect. The cante not vi the sum of the fferene to factor weights (–0.04%) the toteffe(–0.22%). C is incorrect. This is the value of the toteffe(–0.22%). 题目问的是percentage of excess return。。。。， 为什么不用5.84%-6.06% 做分母？

NO.PZ202207040100000602问题如下In Exhibit 1, the percentage of the excess return of the River Valley Funarising from active factor weighting is closest to:A.18.18%.B.–0.04%.C.–0.22%. SolutionA is correct. The percentage of excess return arising from active factor weighting is 18.18%. In comparing the weights between the funanthe benchmark, the factors with fferent weights are Growth anQuality. The totcontribution to the return causeactive factor weighting is(Unrweighting of the Growth factor + Overweighting of the Quality factor) ÷÷ Toteffect= (–0.24% + 0.20%) ÷ –0.22% = –0.04% ÷ –0.22% = 18.18%.The funs holng of Momentum securities wless ththe benchmark’s (24 versus 30), anthus, the funincurreactive security selection risk. But it not incur active factor risk, sinthe factor weight is the same thof the benchmark. B is incorrect. The cante not vi the sum of the fferene to factor weights (–0.04%) the toteffe(–0.22%). C is incorrect. This is the value of the toteffe(–0.22%). 老师，您好，如问题所示，谢谢