开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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?

* 问题详情,请 查看题干

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。


----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 1

    关注
  • 375

    浏览
相关问题

NO.PZ202206140600000104 问题如下 AutlanQuantitative Case ScenarioTimmon begins asking Richarto explain how anwhen risk enters into the performanevaluation process. Richaranswers thrisk is consireonly within performanappraisal, whitermines the quality of a funmanager’s performance. Timmon then asks Richarwhy holngs-baseattribution cgenerate a resiterm between the portfolio performananbenchmark performance. Richarrespon ththe resiterm cannot explaineaction taken the funmanager, but it coulresult from transactions occurring more frequently ththe holngs assessments for the fun Timmon states thAQI often uses the Brinson mol with interaction term for attribution purposes anasks Richarhow the Brinson mol incorporates funmanager sector weights anbenchmark portfolio sector weights. Next, Timmon scusses how AQI consirs risk allocation baseon sector allocation followewithin-sector security selection. She clarifies ththe risk assessment is relative to a benchmark anstates thAQI is always looking for ways to improve the explanation of the process to potenticlients. Timmon asks Richarto intify circumstances unr whiusing a benchmark for performanassessment woulchallenging. Richarrespon thit is usually fficult to finappropriate benchmark for hee fun. spite hee fun generally holng liquiassets thcrealy value the inviinvestment strategies of fun are unique to the invifun making it fficult to finappropriate peer group. Timmon conclus the interview asking Richarwhether there is a particulappraismeasure thhe prefers. Richarscribes a ratio thcomputes the expectereturn on investment less a target return via stanrviation measurement this baseon performanbelow the target return. Questionimprovement in the explanation of AQI’s risk assessment process to a client is most likely to inclu ththe: A.assessment is a bottom-up approach. B.funmanager’s risk assessment is the tracking risk relative to the benchmark. C.funmanager’s risk assessment incorporates only risk associatewith security selection. SolutionB is correct. AQI consirs risk allocation baseon sector allocation followewithin-sector security selection, whiis a top-wn approach. Because the assessment is relative to a benchmark, tracking risk relative to the benchmark is how the funmanager’s risk assessment is measure A is incorrect. AQI consirs risk allocation baseon sector allocation followewithin-sector security selection, whiis a top-wn approach.C is incorrect. Funmanager sector allocation ansecurity selection both create aitionrisk relative to the benchmark. 通过b过于明显选对了,但是c不太明白对应的考点,c说只在security selection情况下产生了风险,但因为是top wn的方式,在factor之间进行轮转,所以在allocation方面也有风险产生。请问具体靠的是说明考点呢?

2024-07-28 16:00 1 · 回答