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CFA随便过 · 2024年08月03日

如果这道题目给的不是residual risk,而是specific risk或者是unique risk，是不是应该作为标准差

  1. CFA III
  2. Capital Market Expectations

NO.PZ2022122601000070

问题如下：

Cortez reviews RiteVal data (Exhibit 2) and preferred two-factor model with global equity and global bonds as the two common drivers of return for all other asset classes.


Using the multifactor model preferred by RiteVal and Exhibit 2, the standard deviation of U.S. real estate is closest to:

选项：

A.23.1% B.

21.0%

C.24.5%

解释：

Correct Answer: A

F1 = Factor 1, Global Equity

F2 = Factor 2, Global Bonds

Var (F1) = 0.0250.5 = 0.1581

Var (F2) = 0.00140.5 = 0.0374

Cov(F1,F2) = σ1σ2ρ1,2 = 0.1518 × 0.374 × 0.33 = 0.002

Real estate factor sensitivities are bre,1 0.6 for sensitivity to global equity and bre,2 0.15 for global bonds. Residual risk variance (given) is Var(εre) = 0.044.

Square root of variance is the standard deviation = 0.231, or 23.1%.

中文解析：

F1 = Factor 1, Global Equity

F2 =因子2，全球债券

Var (F1) = 0.0250.5 = 0.1581

Var (F2) = 0.00140.5 = 0.0374

浸(F1、F2) =σ1,σ2ρ1,2 = 0.1518×0.374×0.33 = 0.002

房地产因素敏感性为bre，全球股票敏感性为1.06，全球债券敏感性为2.0.15。剩余风险方差(给定)Var(εre) = 0.044。


方差的平方根是标准差= 0.231，即23.1%。

如题，请老师指导。

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源_品职助教 · 2024年08月05日

嗨，从没放弃的小努力你好：



是这样的，因为没有在官方教材,MOCK，PE等官方协会在这里没有出现过“specific risk”或者是“unique risk”的表述。

协会只有residual risk的这样一种表述。目前能看到官方的揭发，residual risk这里没给出过标准差的词，也不需要求平方再去加总。

所以从解题方法推断，如果residual risk代表方差，那么出题人会给一个也代表方差的同义词去出题。

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