|
- UID
- 223358
- 帖子
- 257
- 主题
- 53
- 注册时间
- 2011-7-11
- 最后登录
- 2016-4-19
|
PFMgmt: Rdg 66 Exmple 21 Pg 451 CFAI
I am so confused between Macro model and fundamental model factor sensitivities. Based on the reading guess Macro=surprise sensitivities and Fundamental, just actual ratios.
Here goes an interpretation in example 21,
William is responsible for monthly internal performance attribution and risk analysis of a domestic core equity fund managed internally by his organization, a Canadian endowment. In his monthly analyses, W uses a risk model incorporating the following factors
Factor|Portfolio|Benchmark|Factor Variance
1. Log on market cap|0.05|0.23|225
2. E/P, the earnings yield|-0.05|0.05|144
3. B/P, the book2 price|-.25|-.02|100
4. Earnings growth|.25|.1|196
5. Average dividend yield|.01|0|169
6. D/A|.03|.03|81
7. Vol of ROE|-.25|.02|121
8. Volatility of EPS|-.1|.03|64
having determined he earned active return of .75% during last fiscal year, W turns to the task of analysing the pf risk.
the pf goal @ beg of the year
=1> to tactically tilt the portfolio in the direction of small caps stocks.
=2> to implement an "earnings growth at a reasonable price" GARP bias in security selection.
Analysing the results, the soln goes on to say "Although the fund's exposure to size is positive, the active exposure is negative. This result is consistent with tilting toward small cap stocks".
W/ regards to goal2, the result is not consistent with goal2 as "active exposures to these factors is also negative"
Can anyone help me interpret the "active exposures" part appropriately?
Thanks in advance |
|
发表于 2011-7-11 19:53
|