NO.PZ2019012201000065
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:
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%
因子系数，表示受该因子影响的程度。但他可以看作是组合中的权重，还是理解不了。比如，可能有资质，他在组合中的权重占比不高，但是他的变动对组合结果的影响很大。这种情况权重就不等于因子系数了
