问一道题：NO.PZ2019012201000065

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 什么是varianof the market factor return ancovariances with the market factor return？

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 请问可以一下这道题具体是怎么计算的吗？这里的coefficient指的是什么？应该用哪个公式计算？ 谢谢

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 表格第二行是啥

NO.PZ2019012201000065 问题如下 Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to: A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87% 如果coefficient就是weight，为何相加总和不是100%？

NO.PZ2019012201000065问题如下Baseon Exhibit 2, theportion of totportfolio risk this explainethe market factor in Fun’s existing portfolio is closest to:A.3% B.81% C.87% The portion oftotportfolio risk explainethe market factor is calculatein two steps.The first step is to calculate the contribution of the market factor to totalportfolio varianfollows:WhereCVmarket factor = contribution of the market factor to totalportfolio variancexmarket factor = weight of the market factor in theportfolioxj = weight of factor j in the portfolioCmf,j = covarianbetween the market factor anfactor jThe varianattributeto the market factor is follows:CVmarket factor = (1.080 × 0.00109 × 1.080) + (1.080 ×0.00053 × 0.098) + (1.080 × 0.00022 × –0.401) + (1.080 × –0.00025 × 0.034)CVmarket factor = 0.001223The seconstep isto vi the resulting varianattributeto the market factor theportfolio varianof returns, whiis the square of the stanrviation ofreturns:Portion of totalportfolio risk explainethe market factor = 0.001223/(0.0374)2Portion of totalportfolio risk explainethe market factor = 87%这里的monthly不用转成年化吗？