NO.PZ2021101401000019
问题如下：
Galic, who is 62 years old, decides to allocate C$2 million (representing 10% of his net worth) to an account with GWP and stipulates that portfolio assets be restricted exclusively to domestic securities. Although GWP has not backtested its strategies with such a restriction, it has backtested its strategies using a global index that includes domestic securities. Rom shows the following risk measures to Galic for three factor portfolios.
Based on Exhibit 1, which factor has the smallest downside risk as measured by the weighted average of all losses that exceed a threshold?
选项：
A.Factor 1
Factor 2
Factor 3
解释：
C is correct. Exhibit 1 presents three downside risk measures: VaR, CVaR, and maximum drawdown. Conditional VaR is defined as the weighted average of all loss outcomes in the return distribution that exceed the VaR loss. Thus, CVaR is a more comprehensive measure of tail loss than VaR. Based on Exhibit 1, the factor with the smallest downside risk based on CVaR is Factor 3.
不是maximum drawdown最能体现downside risk吗？
