NO.PZ201909300100000307
问题如下：
7 Based on Exhibit 2, the underperformance at the overall fund level is predominantly the result of poor security selection decisions in:
选项：
A.
South America.
B.
greater Europe.
C.
developed Asia and Australasia.
解释：
A is correct.
The total –441 bps of underperformance from security selection and interaction at the overall fund level is predominantly the result of poor South American security selection decisions (–311 bps = 3.11%).
Allocation = (wi – Wi)(Bi – B)
North America = (10.84% – 7.67%)(16.47% – 22.67%) = –0.20%
Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09%
Developed Asia and Australasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13%
South America = (20.38% – 18.82%)(35.26% – 22.67%) = 0.20%
Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi)
North America = 7.67%(16.50% – 16.47%) + (10.84% – 7.67%)(16.50% – 16.47%) = 0.00%
Greater Europe = 42.35%(23.16% – 25.43%) + (38.92% – 42.35%)(23.16% – 25.43%) = –0.88%
Developed Asia and Australasia = 31.16%(11.33% – 12.85%) + (29.86% – 31.16%)(11.33% – 12.85%) = –0.45%
South America = 18.82%(20.00% – 35.26%) + (20.38% – 18.82%)(20.00% – 35.26%) = –3.11%
可是老师表2上方有说明是用Micro的 “constructing a region-based micro attribution analysis to evaluate the active decisions of the portfolio manager. ” 为什么您说是Macro的呢？怎么识别呢？如若是Micro的是不是只求S的公式就可以，不用加上I？
