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yj2640 · 2024年07月16日

题目答案

* 问题详情,请 查看题干

NO.PZ202212270100001903

问题如下:

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:

Correct Answer: A

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%

老师您好,请问这道题是只看selection就可以吗?是不是micro analysis的时候selection就是selection,不用加interaction?

那么这道题答案是错了吗?

1 个答案
已采纳答案

吴昊_品职助教 · 2024年07月16日

嗨,爱思考的PZer你好:


在原版书的讲解中,宏观归因把selection和interaction混在一起,宏观归因中,认为选股和交叉项是由manager决定的,而allocation是sponsor决定的。所以才导致有了题干是单纯的selection,但答案却是S+I的情况。这是协会的bug。

应对考试,只要记住,题干让我们求S我们就求S,题干让我们S+I,我们再算S+I即可。考试的时候不会confuse我们。所以这道题其实只需要单求Selection部分即可,不用加interaction部分。

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