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米妮涵 · 2023年06月24日

还是不明白为什么B不对

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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:

Solution

A 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.

Treynor就是目标回报减去无风险利率的回报,不是正好可以用来衡量题目中的特征要求么

1 个答案

笛子_品职助教 · 2023年06月25日

嗨,从没放弃的小努力你好:


Treynor就是目标回报减去无风险利率的回报,不是正好可以用来衡量题目中的特征要求么

这里要从Treynor的公式去理解。


我们从Treynor ratio的公式可以看出,Treynor ratio的benchmark,并不是1.5% + risk free rate,而是一个index。



注意公式,分母是portfolio的Beta,而portfolio的Beta是基于一个index指数(benchmark)算出来的。如果benchmark是risk - free rate,是计算不出Beta的。


因为Beta公式为:贝塔系数 = (Cov(rp,rm)) / (σp * σm)


而risk free rate的波动性为0,也就是公式的σm =0,分母为0,无法除。


而本题的业绩基准,从the fund mandate requirement is for a short-term return in excess of the risk-free rate这句话可以看出,是一个绝对回报目标。因此不选B。



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