大同学2025-01-19 15:07:53

老师，2024mock的B卷有一道业绩题，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.问：Which risk attribution analysis is most appropriate for the firm’s reallocation of assets to fixed income?答案选C A. Marginal contribution to total risk B. Marginal contribution to tracking risk C. Factors’ marginal contributions to total risk and specific risk 老师，按照原文，出现top-down，以及relative to benchmark，那么他的风险归因应该是：attribute tracking risk to relative allocation and selection decisions. 而选项中没有这个。为什么选C？按照对课上表的讲解，出现了relative就肯定不能是绝对了。而C是top-down+绝对。