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考拉 · 2024年01月31日

这段话语言很晦涩,怎么理解,另外如何与讲义上Risk attribution 部分联结起来解题?

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NO.PZ202206140600000104

问题如下:

An improvement in the explanation of AQI’s risk assessment process to a client is most likely to include that the:

选项:

A.assessment is a bottom-up approach. B.fund manager’s risk assessment is the tracking risk relative to the benchmark. C.fund manager’s risk assessment incorporates only risk associated with security selection.

解释:

Solution

B is correct. AQI considers risk allocation based on sector allocation followed by within-sector security selection, which is a top-down approach. Because the assessment is relative to a benchmark, tracking risk relative to the benchmark is how the fund manager’s risk assessment is measured.

A is incorrect. AQI considers risk allocation based on sector allocation followed by within-sector security selection, which is a top-down approach.

C is incorrect. Fund manager sector allocation and security selection both create additional risk relative to the benchmark.

Timmon discusses how AQI considers risk allocation based on sector allocation followed by within-sector security selection. She clarifies that the risk assessment is relative to a benchmark and states that AQI is always looking for ways to improve the explanation of the process to potential clients.

这段话语言很晦涩,怎么理解,另外如何与讲义上Risk attribution 部分联结起来解题?

1 个答案
已采纳答案

笛子_品职助教 · 2024年02月01日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

我们先看讲义上Risk attribution部分。

这部分的知识点就是掌握一下表格:


我们具体看看这道题里是如何对风险进行分配的。

AQI先对sector进行配置,然后再在行业内选股。

先行业,再个股,这是一种自上而下的方法。

因此结合讲义,是橙色方框里的Top down。


并且这题的风险评估是相对于基准的,因此跟踪相对于基准的风险是衡量基金经理风险评估的方式。

结合讲义,是橙色框里的Relative。


最终我们根据Top down与relative,定位到的描述是:attribute tracking risk to relative allocation and selecition dicisions。

根据这个描述,我们选择B选项。


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2024-07-28 16:00 1 · 回答