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Become it internally · 2025年06月11日

0.1250

  1. CFA III
  2. Trading&Performance

* 问题详情，请 查看题干

NO.PZ202206140600000204

问题如下：

Had the trade in the technology sector not occurred, the selection and interaction measure would have been closest to:

选项：

A.0.35%. B.0.42%. C.1.23%.

解释：

Solution

A is correct. The formula to determine selection and interaction is as follows:Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi), where

Wi = Benchmark weight

Ri = Portfolio return

Bi = Benchmark return

wi = Portfolio weight

Selection + Interaction = (0.20)(0.1250 – 0.1109) + (0.25 – 0.20)(0.1250 – 0.1109)

= 0.0035, or 0.35%.

B is incorrect. This result would be generated by incorrectly using the portfolio weight as Wi in the selection measure calculation:

Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi).

Selection + Interaction = (0.225)(0.1250 – 0.1109) + (0.25 – 0.20)(0.1250 – 0.1109)

= 0.0042, or 0.42%.

C is incorrect. This result would be generated by incorrectly using the original portfolio return as Ri and the revised portfolio return as Bi:

Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi).

Selection + Interaction = (0.20)(0.1740 – 0.1250) + (0.25 – 0.20)(0.1740 – 0.1250)

= 0.0123, or 1.23%.

答案中的0.125是怎么得出来的

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1 个答案

王暄_品职助教 · 2025年06月12日

题目中给出的0.125（即12.50%）是假设没有进行Gamma和Epsilon股票交易时，科技板块的修正后组合收益率。原表格中科技板块组合收益率为17.40%，但题目说明若不做这笔交易收益率会降至12.50%，因此计算选择与交互效应时需用这个修正后的收益率（0.125）替代原收益率（0.174）





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NO.PZ202206140600000204 问题如下 Hthe tra in the technology sector not occurre the selection aninteraction measure woulhave been closest to: A.0.35%. B.0.42%. C.1.23%. SolutionA is correct. The formula to termine selection aninteraction is follows:Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi), whereWi = Benchmark weightRi = Portfolio return= Benchmark returnwi = Portfolio weightSelection + Interaction = (0.20)(0.1250 – 0.1109) + (0.25 – 0.20)(0.1250 – 0.1109) = 0.0035, or 0.35%.B is incorrect. This result woulgenerateincorrectly using the portfolio weight Wi in the selection measure calculation: Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi).Selection + Interaction = (0.225)(0.1250 – 0.1109) + (0.25 – 0.20)(0.1250 – 0.1109) = 0.0042, or 0.42%.C is incorrect. This result woulgenerateincorrectly using the originportfolio return Ri anthe reviseportfolio return Bi:Selection + Interaction = Wi(Ri – Bi) + (wi – Wi)(Ri – Bi).Selection + Interaction = (0.20)(0.1740 – 0.1250) + (0.25 – 0.20)(0.1740 – 0.1250) = 0.0123, or 1.23%. Without this tra, the portfolio’s technology sector return woulhave only been 12.50% 这句话是说benchmark return？ 怎么看出来的

2024-02-07 10:17 2 · 回答