CFA二级数量题目分享significant variable estimate(s)

Determine, using only the statistically significant variable estimate(s) in Logistic Regression 2 and the information provided below, which of the following is closest to the probability of the Alpha ETF being a winning fund and whether it would be classified as a winning fund.

Alpha ETF variable values:

■ small_fund = 0.

■ medium_fund = 0.

■ portfolio_stocks = 99.3%.

■ portfolio_bonds = 0.7%.

■ price_earnings = 25.0.

■ price_book =1.1.

■ price_sales = 4.0.

■ price_cashflow = 5.7.

Use a significance level of 5% and a probability threshold for being a winner of 65%.

A 27.4%, and the Alpha ETF is not classified as a winning fund

B 36.0%, and the Alpha ETF is not classified as a winning fund

C 82.2%, and the Alpha ETF is classified as a winning fund

解析：

B is correct. Besides the significant intercept, the only significant (at the 5% level) variable in Logistic Regression 2 is price_sales. Using these two factors, the probability of this ETF being a winning fund is calculated to be 35.95%, as follows:

Because this probability is well below the 65% threshold for being a winner, the Alpha ETF would not be classified as a winning fund.