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chiara9009 · 2023年08月28日

在选择strategyII中表现最佳的senario，可以直接看strategy II中SR的绝对值吗？

  1. CFA II
  2. Portfolio

NO.PZ2021101401000021

问题如下：

Rom informs Galic that GWP also uses a technique commonly referred to as scenario analysis to examine how strategies perform in different structural regimes. Exhibit 2 compares the performance of two of GWP’s factor allocation strategies in different regimes:


Comparing the two strategies in Exhibit 2, the best risk-adjusted performance is demonstrated by:

选项：

A.

Strategy II in periods of low volatility and recession.

B.

Strategy I in periods of high volatility and non-recession.

C.

Strategy II in periods of high volatility and non-recession.

解释：

A is correct. Using the Sharpe ratio, the best risk-adjusted relative performance can be determined by comparing the sensitivity of the two strategies under differing macroeconomic regimes: recession versus non-recession and high volatility versus low volatility. The best risk-adjusted return will exhibit the highest Sharpe ratio.

Strategy II demonstrates higher risk-adjusted returns compared with Strategy I under all four macroeconomic conditions, particularly in periods of low volatility, when the Sharpe ratio outperformance is 0.96, and recessions, when the Sharpe ratio outperformance is 1.56.


解析中采用SR(strategy II)-SR(strategyI)来选择最优策略，得出low σ和recession场景下表现最优。我的问题是可以不作差，直接通过strategy II中SR绝对值来判断吗？


这题比较特殊，两种判断法结论相同，如果遇到结论不同时一定要作差来判断吗，原理是什么？

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星星_品职助教 · 2023年08月29日

同学你好，

1）不看绝对值，SR为正要比SR为负好。

2）方法为直接对比两种strategy中SR的大小。结论为选择SR大的。



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