NO.PZ2018053101000048
问题如下:
The following performance data are provided for an alternative investments:
Assume the maximum drawdown risk is steady at 10.2% over each time period. Assume the average drawdown risk is steady at 6.8% over each time period.
Using the data provided, calculate the Calmar ratio the way it is typically calculated.
The Calmar ratio is the closest to:
选项:
A.0.46
B.0.61
C.0.65
解释:
B is correct. The Calmar ratio is typically calculated using the prior three years of
performance and is a comparison of the average annual compounded return to its maximum drawdown risk. For this particular investment, the Calmar ratio is
calculated as follows:
6.2% (average compounded return over the past three years)/10.2% (maximum
drawdown) = 0.60784 ≈ 0.61.
本题考查Calmar Ratio的计算。
B是正确的。Calmar Ratio是收益和最大回撤之间的关系,计算方式为年化收益率与历史最大回撤之间的比率,通常使用前三年的业绩进行计算。
Calmar比率数值越大,基金的业绩表现越好。反之,基金的业绩表现越差。
本题中Calmar Ratio计算如下:
6.2%(过去三年的平均复合回报率)/10.2%(Maximum Drawdown risk)=0.60784≈ 0.61.
请问这个知识点在讲义中什么地方?