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坏呼呼嘿嘿 · 2023年07月23日

请问这题考的是什么？

  1. CFA III
  2. Alternative

NO.PZ2023010407000022

问题如下：

Franco is happy with the pairs trade explanation and asks Gary about the proposed allocation of alternative investments to his portfolio. Gary recommends an allocation to hedge funds of 15%. To demonstrate how the addition of hedge fund exposure would impact Franco’s portfolio, Gary presents Franco with the information in Exhibit 1. The table shows how Franco’s current portfolio metrics would change with a 15% allocation to the three different hedge funds.


Franco tells Gary to move forward with the fund he thinks would provide the best performance with the current portfolio.

Identify which of the funds is the most suitable addition to the portfolio. Justify your choice with two reasons.

解释：

Fund 3 is most suitable. The addition of Fund 3 to the current portfolio would increase both the Sharpe and Sortino ratios as well as lower the max drawdown.

请问这题考的是什么？

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1 个答案

伯恩_品职助教 · 2023年07月24日

嗨，努力学习的PZer你好：


这个题就是考察对数字的判断，就是说置换一部分配置，用各种指标测试一下看看相对以前的组合有没有更好。只有fund 3 是所有的指标相对以前都是最好的。比如fund1的最大回撤就比原来的大，fund2的return有比原来的小，所以1和2 肯定不行

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NO.PZ2023010407000022 问题如下 Franis happy with the pairs tra explanation anasks Gary aboutthe proposeallocation of alternative investments to his portfolio. Garyrecommen allocation to hee fun of 15%. To monstrate how the aitionof hee funexposure woulimpaFranco’s portfolio, Gary presents Francowith the information in Exhibit 1. The table shows how Franco’s currentportfolio metriwoulchange with a 15% allocation to the three fferenthee fun.Frantells Garyto move forwarwith the funhe thinks woulprovi the best performanwiththe current portfolio. Intify whiof the fun is the most suitable aition to the portfolio.Justify your choiwith two reasons. Fun3 is mostsuitable. The aition of Fun3 to the current portfolio woulincrease boththe Sharpe anSortino ratios well lower the mawwn. 请问老师这样答可以不

2024-01-10 19:43 1 · 回答

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