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.
选项：
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.
以下是我的回答
fund 3 is the most suitable addition to the portfolio.
- fund 3 could make the potential portfolio with a highest mean return, which improve the performance of the current portfolio. the standard deviation will be decreased, and the sharp ration and the sortino ration will be improved. the volatility of the potential portfolio will be lower than the cunrrent portfolio. but the return will be higher than the current one. the maximum drawdown is lower than the current one, which means lower downside risk than the current portfolio.
- If fund 1 is added into the current portfolio, it will greatly increase the max drawdown from 18.11% to 25.26%. there will be a greater downside risk and might decrease the performence.
- the fund 2 will decrease the mean return of the potential portfolio. it is not the best choice for the best performance addition.
Above all, fund 3 will be a best choice for the best performance with the current portfolio.
当我看到答案时，我真要吐血了，到底这种主观题的回答深度或者颗粒度要在什么区间？
