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506623496 · 2024年07月17日

the decision to overweight or underweight which

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ201909300100000306

问题如下：

6 Based on Exhibit 2, the decision to overweight or underweight which of the following regions contributed positively to performance at the overall fund level?

选项：

A.

North America

B.

Greater Europe

C.

Developed Asia and Australasia

解释：

C is correct.

The decision to underweight developed Asia and Australasia was a good one because the benchmark for this region underperformed the total benchmark (12.85% versus 22.67%). Alternatively, the question can be answered by calculating the allocation effects for the three regions, as follows:
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%

Developed Asia and Australasia is the only region of the three that had a positive allocation effect.

题目问的是the decision to overweight or underweight which ，是要决定权重，为什么还要乘以权重看？题目问法感觉不严谨

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1 个答案

吴昊_品职助教 · 2024年07月17日

嗨，从没放弃的小努力你好：


题干的关键词在于：overweight/underweight。因为考虑的是weight，所以考虑的是allocation effect。然后找出有positive allocation effect的即可。

应试的话，看到overweight/underweight等价到allocation effect即可。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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为何不能用Brinson Mol算呢？结果是A是正的影响。

2020-11-25 20:25 1 · 回答

Greater Europe velopeAsia anAustralasia C is correct. The cision to unrweight velopeAsia anAustralasia wa gooone because the benchmark for this region unrperformethe totbenchmark (12.85% versus 22.67%). Alternatively, the question canswerecalculating the allocation effects for the three regions, follows: Allocation = (wi – Wi)(– North Ameri= (10.84% – 7.67%)(16.47% – 22.67%) = –0.20% Greater Europe = (38.92% – 42.35%)(25.43% – 22.67%) = –0.09% velopeAsia anAustralasia = (29.86% – 31.16%)(12.85% – 22.67%) = 0.13% velopeAsia anAustralasia is the only region of the three thha positive allocation effect. 我个人对这道题的理解是就比较Rp-四个行业总的RB，哪一个大就选哪个factor，为什么还要看weight，weight根据题目的意思是可以随意调增调减的

2020-03-29 12:01 1 · 回答

老师你好，这道题题目中并没有说要从allocation effect角度来看应该增加或减少某类的权重，李老师讲的是和各个类别的benchmark比较（我理解这是从allocation的角度出发）。为什么不能用各个portfolio return和总的benchmark（22.67）做对比呢，这样看更直接能看出因为投资哪一类别（对比总benchmark）对整体的贡献更大，结果就是只能选velopeAsia。

2020-03-16 19:21 1 · 回答

是因为题中问到了overweight或是unrweight，所以是使用allocation这个矩阵来计算并得出结论么？ 另外为何题目是overweight或是unrweight这样问呢，感觉不是很严谨，每个则有两种了啊

2020-02-18 12:55 1 · 回答