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wukefu · 2024年07月12日

这个题目考的知识点找不到

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202206070100000202

问题如下：

Using the data provided in Exhibit 1 and assuming perfect markets, the calculated beta for US real estate is closest to:

选项：

A.0.58. B.1.08. C.0.38.

解释：

Solution

A is correct.

βi = Cov(Ri,RM)/Var(RM)

Note that covariance is given as 0.0075.

Find Var(RM) by using the Sharpe ratio = RPM/σM and solve for σM

Expected return – Risk-free rate = RPM

7.2% – 3.1% = 4.1% (or 0.041)

σM = 0.041/0.36 = 0.1139

Var(RM) = (0.1139)2 = 0.0130

βi = 0.0075/0.0130 = 0.58

C is incorrect. It incorrectly uses the value for variance of 0.142 based upon the standard deviation of the global real estate asset class in the beta formula.

Var(RM) = (0.14)2 = 0.0196 βi

βi = 0.0075/0.0196 = 0.38

B is incorrect. It incorrectly uses the ratio of the correlations.

βi = 0.39 (given by Grey)/0.36= 1.08

βi = Cov(Ri,RM)/Var(RM) Note that covariance is given as 0.0075. Find Var(RM) by using the Sharpe ratio = RPM/σM and solve for σM Expected return – Risk-free rate = RPM 7.2% – 3.1% = 4.1% (or 0.041) σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C is incorrect. It incorrectly uses the value for variance of 0.142 based upon the standard deviation of the global real estate asset class in the beta formula. Var(RM) = (0.14)2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B is incorrect. It incorrectly uses the ratio of the correlations. βi = 0.39 (given by Grey)/0.36= 1.08


βi = Cov(Ri,RM)/Var(RM)

注意协方差为0.0075。
用夏普比= RPM/σM求Var(RM)，求出σM
预期收益-无风险率= RPM
7.2% - 3.1% = 4.1%(或0.041)
σm = 0.041/0.36 = 0.1139
Var(RM) = (0.1139)^2 = 0.0130
βi = 0.0075/0.0130 = 0.58
C是不正确的。它错误地使用了基于贝塔公式中全球房地产资产类别的标准差的方差0.142的值。
Var(RM) = (0.14)^2 = 0.0196 βi
βi = 0.0075/0.0196 = 0.38
B是不正确的。它错误地使用了相关性的比率。
βi = 0.39(由Grey给出)/0.36= 1.08

βi = Cov(Ri,RM)/Var(RM)注意，协方差为0.0075。通过Sharpe ratio = RPM/σM求Var(RM)，求出σM。期望收益-无风险率= RPM 7.2% - 3.1% = 4.1%(或0.041)σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C是不正确的。它错误地使用0.142的值。Var(RM) = (0.14)^2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B不正确。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08


这个题目考的是ST model 吗？看了解释怎么感觉不是

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1 个答案

笛子_品职助教 · 2024年07月12日

嗨，爱思考的PZer你好：


这个题目考的是ST model 吗？看了解释怎么感觉不是

不是的。

这个考点是公式：βi = Cov(Ri,RM)/Var(RM)

这个公式在asset allocation里出现，在一二级里也有涉及。

也就是Beta的计算。


出在CME这里，不是很好。

虽然在ST公式的推导里有涉及，但一般只会记忆最终的ST公式，不会记忆中间的推导。

因此可以认为，CME里没有讲Beta的公式。


尽管CME里没明确讲这个公式，但从这道题看出来，该公式还是要求记忆掌握的。

同学可以记忆一下，虽然CME考试的时候，直接考这个公式的概率较低，但毕竟在Asset allocation科目里，这个公式是要考的。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ202206070100000202问题如下Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to:A.0.58.B.1.08.C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – Risk-free rate = RPM 7.2% – 3.1% = 4.1% (or 0.041) σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(RM) = (0.14)2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B is incorrect. It incorrectly uses the ratio of the correlations. βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意协方差为0.0075。用夏普比= RPM/σM求Var(RM)，求出σM预期收益-无风险率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C是不正确的。它错误地使用了基于贝塔公式中全球房地产资产类别的标准差的方差0.142的值。Var(RM) = (0.14)^2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B是不正确的。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意，协方差为0.0075。通过Sharpe ratio = RPM/σM求Var(RM)，求出σM。期望收益-无风险率= RPM 7.2% - 3.1% = 4.1%(或0.041)σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C是不正确的。它错误地使用0.142的值。Var(RM) = (0.14)^2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B不正确。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08 这个公式是怎么推导出来的呢？谢谢老师

2024-04-20 16:16 1 · 回答

NO.PZ202206070100000202 问题如下 Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to: A.0.58. B.1.08. C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – Risk-free rate = RPM 7.2% – 3.1% = 4.1% (or 0.041) σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(RM) = (0.14)2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B is incorrect. It incorrectly uses the ratio of the correlations. βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意协方差为0.0075。用夏普比= RPM/σM求Var(RM)，求出σM预期收益-无风险率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C是不正确的。它错误地使用了基于贝塔公式中全球房地产资产类别的标准差的方差0.142的值。Var(RM) = (0.14)^2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B是不正确的。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意，协方差为0.0075。通过Sharpe ratio = RPM/σM求Var(RM)，求出σM。期望收益-无风险率= RPM 7.2% - 3.1% = 4.1%(或0.041)σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C是不正确的。它错误地使用0.142的值。Var(RM) = (0.14)^2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B不正确。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08 上面给了covariance，确实可以直接除以方差得到beta。但是下面也给了correlation，并且乘以行业和市场的标准差后不等于上面给的covariance。

2024-01-24 17:04 1 · 回答

NO.PZ202206070100000202问题如下Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to:A.0.58.B.1.08.C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – Risk-free rate = RPM 7.2% – 3.1% = 4.1% (or 0.041) σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(RM) = (0.14)2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B is incorrect. It incorrectly uses the ratio of the correlations. βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意协方差为0.0075。用夏普比= RPM/σM求Var(RM)，求出σM预期收益-无风险率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C是不正确的。它错误地使用了基于贝塔公式中全球房地产资产类别的标准差的方差0.142的值。Var(RM) = (0.14)^2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B是不正确的。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意，协方差为0.0075。通过Sharpe ratio = RPM/σM求Var(RM)，求出σM。期望收益-无风险率= RPM 7.2% - 3.1% = 4.1%(或0.041)σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C是不正确的。它错误地使用0.142的值。Var(RM) = (0.14)^2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B不正确。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08 如题，求相关知识点的视频讲解

2024-01-13 08:01 1 · 回答

NO.PZ202206070100000202 问题如下 Using the ta proviin Exhibit 1 anassuming perfemarkets, the calculatebeta for US reestate is closest to: A.0.58. B.1.08. C.0.38. SolutionA is correct.βi = Cov(Ri,RM)/Var(RM)Note thcovarianis given 0.0075.FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σMExpectereturn – Risk-free rate = RPM7.2% – 3.1% = 4.1% (or 0.041)σM = 0.041/0.36 = 0.1139Var(RM) = (0.1139)2 = 0.0130βi = 0.0075/0.0130 = 0.58C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formula.Var(RM) = (0.14)2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B is incorrect. It incorrectly uses the ratio of the correlations.βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM) Note thcovarianis given 0.0075. FinVar(RM) using the Sharpe ratio = RPM/σM ansolve for σM Expectereturn – Risk-free rate = RPM 7.2% – 3.1% = 4.1% (or 0.041) σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C is incorrect. It incorrectly uses the value for varianof 0.142 baseupon the stanrviation of the globreestate asset class in the beta formulVar(RM) = (0.14)2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B is incorrect. It incorrectly uses the ratio of the correlations. βi = 0.39 (given Grey)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意协方差为0.0075。用夏普比= RPM/σM求Var(RM)，求出σM预期收益-无风险率= RPM7.2% - 3.1% = 4.1%(或0.041)σm = 0.041/0.36 = 0.1139Var(RM) = (0.1139)^2 = 0.0130βi = 0.0075/0.0130 = 0.58C是不正确的。它错误地使用了基于贝塔公式中全球房地产资产类别的标准差的方差0.142的值。Var(RM) = (0.14)^2 = 0.0196 βiβi = 0.0075/0.0196 = 0.38B是不正确的。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08βi = Cov(Ri,RM)/Var(RM)注意，协方差为0.0075。通过Sharpe ratio = RPM/σM求Var(RM)，求出σM。期望收益-无风险率= RPM 7.2% - 3.1% = 4.1%(或0.041)σM = 0.041/0.36 = 0.1139 Var(RM) = (0.1139)^2 = 0.0130 βi = 0.0075/0.0130 = 0.58 C是不正确的。它错误地使用0.142的值。Var(RM) = (0.14)^2 = 0.0196 βi βi = 0.0075/0.0196 = 0.38 B不正确。它错误地使用了相关性的比率。βi = 0.39(由Grey给出)/0.36= 1.08 如题

2023-12-19 14:45 1 · 回答