NO.PZ202206140600000202
问题如下:
Based on the client’s investment mandate, the most appropriate appraisal measure for McNeil to use is the:选项:
A.Sortino ratio. B.Treynor ratio. C.information ratio.解释:
SolutionA is correct. Given that the fund mandate requirement is for a short-term return in excess of the risk-free rate, the Sortino ratio is a more appropriate measure because it penalizes returns below a specific return—in this case, 1.5% above the risk-free rate.
B is incorrect. The Treynor ratio penalizes returns below the risk-free rate. It will not measure the fund’s ability to meet the requirement of a short-term return in excess of the risk-free rate.
C is incorrect. The information ratio evaluates the portfolio return relative to a benchmark. It will not measure the fund’s ability to meet the requirement of a short-term return in excess of the risk-free rate.
题目里的意思是不是 组合的收益要达到一个在无风险收益的基础上+1.5%的一个目标收益率? 也就是(rf+1.5%) 可以看做是target return 也就是可接受的最小收益率, 所以就选择soTina ratio
而 TR 减去是rf
IR 减去的事Rb?