NO.PZ2022122701000020
问题如下：
In preparation for the attribution analysis, Weiss collects the country weights and returns for the Fund and the benchmark for the last year. He proceeds to evaluate the impact of allocation and selection decisions as detailed in Exhibit 1.
Calculate the allocation, selection and interaction effects for both Japan and the Fund. Discuss briefly the allocation and selection effects for each of the individual countries and for the overall Fund.
选项：
解释：
Parameter calculations
Allocation = (wi–Wi)*(Bi–B)
Selection = Wi *(Ri–Bi)
Interaction = (wi–Wi)* (Ri–Bi)
For Japan
Allocation = (7% – 5%) * (3.2% – 12%) = –0.18%
Selection = 5% * (1.3% – 3.2%) = –0.10%
Interaction = (7% – 5%) * (1.3% – 3.2%) = –0.04%.
For the Fund:
Incorporating the allocation, selection and interaction effects of Japan (calculated above) with the other countries’ data given in Exhibit 1, we obtain:
Allocation = –2.02%
Selection = 1.96%
Interaction = 0.07%
At the overall Fund level, selection and interaction outperformance was nullified by allocation underperformance. The Fund did not experience excess return compared to the benchmark.
allocation effects for Japan =（7%-5%）*（3.2%-12%）=-0.176%
selection effects for Japan =5%*（1.3%-3.2%）=-0.095%
interaction effects for Japan =（7%-5%）*（1.3%-3.2%）=-0.038%
allocation effects for the Fund. =-0.176%-0.96%-0.6%-0.09%-0.2%=2.026%
selection effects for the Fund. =-0.095%+0.33%+0.6%+0.56%+0.56%=1.955%
interaction effects for the Fund. =-0.038%-0.13%+0.24%-0.14%+0.14%=0.072%
selection effect for all countries expect for Japan is positive，but for Japan is negative. However, allocation effect for the fund is positive.
allocation effect for every individual country is negative, so allocation effect for the overall fund is negative.
