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%
81%
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:
Where
CVmarket factor = contribution of the market factor to total
portfolio variance
xmarket factor = weight of the market factor in the
portfolio
xj = weight of factor j in the portfolio
Cmf,j = covariance between the market factor and factor j
The variance attributed to the market factor is as follows:
CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×
0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)
CVmarket factor = 0.001223
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%
看到portfolio monthly return 我有点纠结要不要用平方根法则，但上面给的信息也不知道是不是年还是月的？
是考试不是不用想这么细
