标题: Reading 44: Evaluating Portfol....rmance－LOS e [打印本页]
作者: tycoon 时间: 2008-9-18 10:15 标题: [2008] Session 16- Reading 44: Evaluating Portfol....rmance－LOS e
CFA Institute Area 3-5, 7, 12, 14-18: Portfolio Management
Session 16: Performance Evaluation and Attribution
Reading 44: Global Performance Evaluation
LOS e: Explain the use of risk budgeting in global performance evaluation.
作者: tycoon 时间: 2008-9-18 10:16
What is risk budgeting?
| A) | Determination of the amount of risk the portfolio can take. |
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B) | Identification of sources of portfolio risk. |
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| C) | Determination of a risk measure that the portfolio can take. |
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| D) | Comparison of the funds risk to that of its return. |
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Answer and Explanation
Risk budgeting is the risk counterpart of performance attribution. It identifies the sources of the portfolio risk.
作者: tycoon 时间: 2008-9-18 10:16
Sector risk is defined as the risk of:
| A) | all the sectors in the portfolio. |
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| B) | all companies in a portfolio. |
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| C) | assigning the wrong weight to a sector in the portfolio. |
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D) | individual countries in a passive benchmark portfolio. |
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Answer and Explanation
Sector risk is the risk of individual countries or sectors in a passive benchmark portfolio.
作者: tycoon 时间: 2008-9-18 10:17
Selection risk is defined as the:
| A) | risk of all the companies in a sector of the portfolio. |
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| B) | risk of all the sectors in a portfolio. |
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| C) | risk of individual companies in a sector in the benchmark portfolio. |
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D) | additional risk taken by deviating from the benchmark portfolio. |
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Answer and Explanation
Selection risk is the additional risk taken by deviating from the benchmark portfolio.
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