大同學(xué)
2025-01-19 15:07老師，2024mock的B卷有一道業(yè)績題，案例六，原文：The decision to reallocate assets to fixed income is based on an analysis of the asset class. The firm uses a top-down approach to first determine allocations to different economic sectors and then decides on security selection within those sectors. Based on economic projections, the firm then chooses the fixed income portfolio weights relative to the benchmark.問：Which risk attribution analysis is most appropriate for the firm’s reallocation of assets to fixed income?答案選C A. Marginal contribution to total risk B. Marginal contribution to tracking risk C. Factors’ marginal contributions to total risk and specific risk 老師，按照原文，出現(xiàn)top-down，以及relative to benchmark，那么他的風(fēng)險(xiǎn)歸因應(yīng)該是：attribute tracking risk to relative allocation and selection decisions. 而選項(xiàng)中沒有這個(gè)。為什么選C？按照對課上表的講解，出現(xiàn)了relative就肯定不能是絕對了。而C是top-down+絕對。
所屬：CFA Level III > Performance Measurement 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
開開助教
2025-01-20 10:14
該回答已被題主采納
同學(xué)你好，這個(gè)題目我也覺得有點(diǎn)問題。題目提到the firm then chooses the fixed income portfolio weights relative to the benchmark，應(yīng)該是relative的，但是答案確實(shí)absolute的表述。
參考答案也集中在對top dwon和bottom up的辨析上，沒有對relative和absolute進(jìn)行說明。
如果答疑對你有幫助，【請采納】喲~。加油，祝你順利通過考試~
0
0
1
1
