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发表于 2008-9-18 10:15 | 只看该作者

Reading 44: Evaluating Portfol....rmance－LOS e

budgeting

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.

 

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tycoon

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发表于 2008-9-18 10:16 | 只看该作者

What is risk budgeting?

A)Determination of the amount of risk the portfolio can take.
B)
Identification of sources of portfolio risk.
C)Determination of a risk measure that the portfolio can take.
D)Comparison of the funds risk to that of its return.

Answer and Explanation

Risk budgeting is the risk counterpart of performance attribution. It identifies the sources of the portfolio risk.

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tycoon

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发表于 2008-9-18 10:16 | 只看该作者

Sector risk is defined as the risk of:

A)all the sectors in the portfolio.
B)all companies in a portfolio.
C)assigning the wrong weight to a sector in the portfolio.
D)
individual countries in a passive benchmark portfolio.

Answer and Explanation

Sector risk is the risk of individual countries or sectors in a passive benchmark portfolio.

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发表于 2008-9-18 10:17 | 只看该作者

Selection risk is defined as the:

A)risk of all the companies in a sector of the portfolio.
B)risk of all the sectors in a portfolio.
C)risk of individual companies in a sector in the benchmark portfolio.
D)
additional risk taken by deviating from the benchmark portfolio.

Answer and Explanation

Selection risk is the additional risk taken by deviating from the benchmark portfolio.

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