NO.PZ202206140600000608
问题如下：
Based on the information provided in Exhibit 2, Fund C’s manager has a downside capture closest to:选项：
A.82.38%. B.107.70%. C.129.33%.解释：
Solution
A is correct; 82.38% is the downside capture ratio, as shown in this table.
UC measures capture when the benchmark return is positive. DC measures capture when the benchmark return is negative. CR is the upside capture divided by downside capture, where
UC(m, B, t) = up capture for manager m relative to benchmark B for time t
DC(m, B, t) = down capture for manager m relative to benchmark B for time t
R(m, t) = return of manager m for time t
R(B, t) = return of benchmark B for time t
The geometric mean is calculated by adding 1 to each included value, multiplying them together, and taking the nth root, where n is the number of included values. For example, the geometric mean of R(m) for upside returns is
G = [(1 + 0.123) × (1 + 0.105) × (1 + 0.1333)]1/3 – 1 = 0.1203 = 12.03%
B is incorrect. It is the value for the upside capture, not the downside capture.
C is incorrect. It is the value for the capture ratio, not the downside capture.
如题
