NO.PZ2023010903000072
问题如下：
Based on Exhibit 2, the portion of total portfolio risk that is explained by the market factor in Fund 1’s existing portfolio is closest to:
选项：
A.
3%
B.
81%
C.
87%
解释：
The portion of total portfolio risk explained by the market factor is calculated in two steps. The first step is to calculate the contribution of the market factor to total portfolio variance as follows:
The second step is to divide the resulting variance attributed to the market factor by the portfolio variance of returns, which is the square of the standard deviation of returns:
Portion of total portfolio risk explained by the market factor = 0.001223/(0.0374)2
Portion of total portfolio risk explained by the market factor = 87%
为什么这里Portion of total portfolio risk explained by the market factor，分母为什么是直接用monthly standard deviation of return? 难道不用年化么？年化是不是应该用平方根法则？