为何sortino ratio最大优选 它的maxium drawdown也是最大的，综合起来不是b好一点？

NO.PZ201909280100000908 问题如下 Baseon the IC’s primary consirations for acombineportfolio, whisimulatehee funstrategy portfolio in Exhibit 1creates the most suitable combineportfolio? A.Merger arbitrage B.Systematic futures C.Equity market neutr C is correct. Theequity market-neutrstrategy makes for a combineportfolio thhastanrviation below the maximum specifieanhthe highest Sortinoratio.The primaryconsiration is ththe varianof the combineportfolio must less than90% of thof the current portfolio. Sinvarianis the square of stanreviation, the maximum varianalloweis Anstanrviation is thesquare root of variance, so the maximum stanrviation alloweis All three portfolios are belowthe maximum specifievariance.The next consiration is thatthe portfolio shoulmaximize the risk-austereturn with the expectation oflarge negative events. For hee funstrategies with large negative events,the Sortino ratio is a more appropriate measure of risk-austereturn thanthe Sharpe ratio. The Sharpe ratio measures risk-austeperformance, whererisk is finestanrviation, so it penalizes both upsi anwnsivariability. The Sortino ratio measures risk-austeperformance, where riskis finewnsi viation, so it penalizes only wnsi variabilitybelow a minimum target return. Of the portfolios thmeet the variancerequirement, the one with the highest Sortino ratio is the portfolio with theequity market-neutrallocation, with a Sortino ratio of 1.80. Therefore, theportfolio with the equity market-neutrallocation is the most suitableportfolio for the consirations specifiethe IC.A is incorrebecause theportfolio with allocation to the merger arbitrage hee funstrategy, whilemeeting the varianrequirement, ha lower Sortino ratio (1.35) ththeportfolio with allocation to the equity market-neutrhee funstrategy(1.80). Although the portfolio with the merger arbitrage allocation hthelowest value of maximum awwn (5.60), the relevant measure of wnsi riskis the Sortino ratio. a result, the portfolio with the equity market-neutralallocation is the most suitable portfolio given the consirations specifiebythe IC.B is incorrebecause theportfolio with allocation to the systematic futures hee funstrategy,while meeting the varianrequirement, ha lower Sortino ratio (1.68) thanthe portfolio with allocation to the equity market-neutrhee funtrategy. a result, the portfolio with the equity market-neutrallocationis the most suitable portfolio given the consirations specifiethe IThe equity market-neutrstrategy使得组合投资组合的标准差低于指定的最大值并且具有最高的 Sortino 比率。客户主要考虑的是合并后的投资组合的方差必须小于当前投资组合的 90%。由于方差是标准偏差的平方，因此允许的最大方差为标准差是方差的平方根，所以允许的最大标准差是所有三个投资组合都低于最大指定方差。所以第一条都满足。下一个考虑是投资组合应该在预期出现大的负面事件的情况下最大化风险调整后的回报。对于具有较大负面事件的对冲基金策略，与夏普比率相比，Sortino 比率是一种更合适的风险调整回报指标。夏普比率衡量风险调整后的绩效，其中风险被定义为标准差，因此它对向上（就是价格变高）的波动和向下（就是价格变低）的波动都作为分母纳入计算。 Sortino 比率衡量风险调整后的绩效，其中风险被定义为下行偏差，因此它仅考察低于最低目标回报的下行波动。在满足方差要求的投资组合中，Sortino比率最高的是The equity market-neutrstrategy，Sortino比率为1.80。因此，The equity market-neutrstrategy的投资组合是最适合指定考虑因素的投资组合。 请老师一下，为什么不选B

NO.PZ201909280100000908 问题如下 Baseon the IC’s primary consirations for acombineportfolio, whisimulatehee funstrategy portfolio in Exhibit 1creates the most suitable combineportfolio? A.Merger arbitrage B.Systematic futures C.Equity market neutr C is correct. Theequity market-neutrstrategy makes for a combineportfolio thhastanrviation below the maximum specifieanhthe highest Sortinoratio.The primaryconsiration is ththe varianof the combineportfolio must less than90% of thof the current portfolio. Sinvarianis the square of stanreviation, the maximum varianalloweis Anstanrviation is thesquare root of variance, so the maximum stanrviation alloweis All three portfolios are belowthe maximum specifievariance.The next consiration is thatthe portfolio shoulmaximize the risk-austereturn with the expectation oflarge negative events. For hee funstrategies with large negative events,the Sortino ratio is a more appropriate measure of risk-austereturn thanthe Sharpe ratio. The Sharpe ratio measures risk-austeperformance, whererisk is finestanrviation, so it penalizes both upsi anwnsivariability. The Sortino ratio measures risk-austeperformance, where riskis finewnsi viation, so it penalizes only wnsi variabilitybelow a minimum target return. Of the portfolios thmeet the variancerequirement, the one with the highest Sortino ratio is the portfolio with theequity market-neutrallocation, with a Sortino ratio of 1.80. Therefore, theportfolio with the equity market-neutrallocation is the most suitableportfolio for the consirations specifiethe IC.A is incorrebecause theportfolio with allocation to the merger arbitrage hee funstrategy, whilemeeting the varianrequirement, ha lower Sortino ratio (1.35) ththeportfolio with allocation to the equity market-neutrhee funstrategy(1.80). Although the portfolio with the merger arbitrage allocation hthelowest value of maximum awwn (5.60), the relevant measure of wnsi riskis the Sortino ratio. a result, the portfolio with the equity market-neutralallocation is the most suitable portfolio given the consirations specifiebythe IC.B is incorrebecause theportfolio with allocation to the systematic futures hee funstrategy,while meeting the varianrequirement, ha lower Sortino ratio (1.68) thanthe portfolio with allocation to the equity market-neutrhee funtrategy. a result, the portfolio with the equity market-neutrallocationis the most suitable portfolio given the consirations specifiethe IThe equity market-neutrstrategy使得组合投资组合的标准差低于指定的最大值并且具有最高的 Sortino 比率。客户主要考虑的是合并后的投资组合的方差必须小于当前投资组合的 90%。由于方差是标准偏差的平方，因此允许的最大方差为标准差是方差的平方根，所以允许的最大标准差是所有三个投资组合都低于最大指定方差。所以第一条都满足。下一个考虑是投资组合应该在预期出现大的负面事件的情况下最大化风险调整后的回报。对于具有较大负面事件的对冲基金策略，与夏普比率相比，Sortino 比率是一种更合适的风险调整回报指标。夏普比率衡量风险调整后的绩效，其中风险被定义为标准差，因此它对向上（就是价格变高）的波动和向下（就是价格变低）的波动都作为分母纳入计算。 Sortino 比率衡量风险调整后的绩效，其中风险被定义为下行偏差，因此它仅考察低于最低目标回报的下行波动。在满足方差要求的投资组合中，Sortino比率最高的是The equity market-neutrstrategy，Sortino比率为1.80。因此，The equity market-neutrstrategy的投资组合是最适合指定考虑因素的投资组合。 如题

NO.PZ201909280100000908 这道题考的什么知识点？