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kevinzhu · 2022年07月07日

Sharpe ratio越大越好

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NO.PZ202110140100000508

问题如下:

Comparing the two strategies in Exhibit 2, the best risk-adjusted performance is demonstrated by

选项:

A.Strategy II in periods of low volatility and recession. B.Strategy I in periods of high volatility and non-recession. C.Strategy II in periods of high volatility and non-recession.

解释:

A is correct.

Using the Sharpe ratio, the best risk-adjusted relative performance can be determined by comparing the sensitivity of the two strategies under differing macroeconomic regimes: recession versus non-recession and high volatility versus low volatility. The best risk-adjusted return will exhibit the highest Sharpe ratio. Strategy II demonstrates higher risk-adjusted returns compared with Strategy I under all four macroeconomic conditions, particularly in periods of low volatility, when the Sharpe ratio outperformance is 0.96, and recessions, when the Sharpe ratio outperformance is 1.56.

是不是理解成Sharpe ratio越大越好就行了?

1 个答案
已采纳答案

星星_品职助教 · 2022年07月07日

同学你好,

SR越大越好能排除B。A和C需要根据difference那行的差值来选。

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