NO.PZ2019012201000065
问题如下：
Based on Exhibit 2, theportion of total portfolio risk that is explained by the market factor in Fund1’s existing portfolio is closest to:
选项：
A. 3%
B. 81%
C. 87%
解释：
The portion oftotal 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 totalportfolio variance as follows:
Where
CVmarket factor = contribution of the market factor to totalportfolio variance
xmarket factor = weight of the market factor in theportfolio
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 isto divide the resulting variance attributed to the market factor by theportfolio variance of returns, which is the square of the standard deviation ofreturns:
Portion of totalportfolio risk explained by the market factor = 0.001223/(0.0374)2
Portion of totalportfolio risk explained by the market factor = 87%
monthly standard deviation不用乘以12吗？
