开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

rikkisong72 · 2024年01月24日

是不是只有sharpe ratio可以替代

  1. CFA III
  2. Capital Market Expectations

* 问题详情，请 查看题干

NO.PZ202206070100000203

问题如下：

Using the data provided in Exhibit 1 and Grey’s recommended approach and assumed correlation, the expected return for US real estate is closest to:

选项：

A.6.9%. B.4.3%. C.6.3%.

解释：

C is correct. Grey recommends the Singer–Terhaar approach and a correlation of 0.39 between real estate and the market. Use these steps to solve for the expected return:

Fully integrated risk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM

  • Step 1 Fully integrated risk premium (14.0% × 0.39 × 0.36) = 1.97%
  • Fully segmented risk premium (14.0% × 0.36) = 5.04%
  • Step 2 Fully integrated and segmented risk premium, considering the degree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20%
  • Step 3 Expected return estimate:
  • Fully integrated and segmented risk premium + Risk-free rate 3.20% + 3.1% = 6.3%

A is incorrect. The mistake is in reversing the weights for integrated and segmented.

B is incorrect. In step one, it uses the covariance 0.0075 instead of the Sharpe ratio

本题考查的ST模型：

C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:

完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)

完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)


B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。

老师，segmented industry RP=1*RPs。但是RPs不能直接用RPgim替代，只有SHARPEgim才能替代SHARPEs是吗？

添加评论
1 个答案

笛子_品职助教 · 2024年01月25日

嗨，从没放弃的小努力你好：


老师，segmented industry RP=1*RPs。但是RPs不能直接用RPgim替代，只有SHARPEgim才能替代SHARPEs是吗？

Hello，亲爱的同学~

这里同学理解正确。

因为基础讲义有这么一句话：•A pragmatic approach is to assume all the Sharpe ratios equal the global Sharpe ratio.

这就说明了，如果题目没有告知segmented 的Sharpe ratios，那么就是可以用global investable market的Sharpe ratios。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 284

    浏览
相关问题

NO.PZ202206070100000203问题如下Using the ta proviin Exhibit 1 anGrey’s recommenapproaanassumecorrelation, the expectereturn for US reestate is closest to:A.6.9%.B.4.3%.C.6.3%. C is correct. Grey recommen the Singer–Terhaapproaana correlation of 0.39 between reestate anthe market. Use these steps to solve for the expectereturn:Fully integraterisk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM Step 1 Fully integraterisk premium (14.0% × 0.39 × 0.36) = 1.97% Fully segmenterisk premium (14.0% × 0.36) = 5.04% Step 2 Fully integrateansegmenterisk premium, consiring the gree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20% Step 3 Expectereturn estimate: Fully integrateansegmenterisk premium + Risk-free rate 3.20% + 3.1% = 6.3%A is incorrect. The mistake is in reversing the weights for integrateansegmenteB is incorrect. In step one, it uses the covarian0.0075 insteof the Sharpe ratio本题考查的ST模型C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)步骤1充分整合风险溢价(14.0% × 0.39 × 0.36) = 1.97%完全分段风险溢价(14.0% × 0.36) = 5.04%步骤2充分整合和细分风险溢价，考虑整合程度(1.97% × 0.6) + (5.04% × 0.4) = 3.20%步骤3 .预期收益估算:完全综合分段风险溢价+无风险利率3.20% + 3.1% = 6.3%B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。 这题现在还在考纲吗？是哪一个知识点？

2024-09-16 14:07 1 · 回答

NO.PZ202206070100000203 问题如下 Using the ta proviin Exhibit 1 anGrey’s recommenapproaanassumecorrelation, the expectereturn for US reestate is closest to: A.6.9%. B.4.3%. C.6.3%. C is correct. Grey recommen the Singer–Terhaapproaana correlation of 0.39 between reestate anthe market. Use these steps to solve for the expectereturn:Fully integraterisk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM Step 1 Fully integraterisk premium (14.0% × 0.39 × 0.36) = 1.97% Fully segmenterisk premium (14.0% × 0.36) = 5.04% Step 2 Fully integrateansegmenterisk premium, consiring the gree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20% Step 3 Expectereturn estimate: Fully integrateansegmenterisk premium + Risk-free rate 3.20% + 3.1% = 6.3%A is incorrect. The mistake is in reversing the weights for integrateansegmenteB is incorrect. In step one, it uses the covarian0.0075 insteof the Sharpe ratio本题考查的ST模型C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。 前面一小题其实已经可以通过条件求得beta，beta直接乘以市场的风险溢价，可以直接得出房地产市场的风险溢价这里文中又提到了相关系数为0.39,那岂不是代表前一小题出题并不严谨吗？

2023-11-23 22:45 1 · 回答

NO.PZ202206070100000203问题如下 Using the ta proviin Exhibit 1 anGrey’s recommenapproaanassumecorrelation, the expectereturn for US reestate is closest to:A.6.9%.B.4.3%.C.6.3%. C is correct. Grey recommen the Singer–Terhaapproaana correlation of 0.39 between reestate anthe market. Use these steps to solve for the expectereturn:Fully integraterisk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM Step 1 Fully integraterisk premium (14.0% × 0.39 × 0.36) = 1.97% Fully segmenterisk premium (14.0% × 0.36) = 5.04% Step 2 Fully integrateansegmenterisk premium, consiring the gree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20% Step 3 Expectereturn estimate: Fully integrateansegmenterisk premium + Risk-free rate 3.20% + 3.1% = 6.3%A is incorrect. The mistake is in reversing the weights for integrateansegmenteB is incorrect. In step one, it uses the covarian0.0075 insteof the Sharpe ratio本题考查的ST模型C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。 根据前一题的假设可以由协方差和标准差算出相关系数0.0075/（14%*11.39%）=0.47，和题目题目给的0.39不一样，请问这是为什么？有什么需要注意的点吗？谢谢

2023-05-10 10:33 1 · 回答

NO.PZ202206070100000203 问题如下 Using the ta proviin Exhibit 1 anGrey’s recommenapproaanassumecorrelation, the expectereturn for US reestate is closest to: A.6.9%. B.4.3%. C.6.3%. C is correct. Grey recommen the Singer–Terhaapproaana correlation of 0.39 between reestate anthe market. Use these steps to solve for the expectereturn:Fully integraterisk premium: R P i G = β i,GM R P GM = ρ i,GM σ i R P GM σ GM Step 1 Fully integraterisk premium (14.0% × 0.39 × 0.36) = 1.97% Fully segmenterisk premium (14.0% × 0.36) = 5.04% Step 2 Fully integrateansegmenterisk premium, consiring the gree of integration (1.97% × 0.6) + (5.04% × 0.4) = 3.20% Step 3 Expectereturn estimate: Fully integrateansegmenterisk premium + Risk-free rate 3.20% + 3.1% = 6.3%A is incorrect. The mistake is in reversing the weights for integrateansegmenteB is incorrect. In step one, it uses the covarian0.0075 insteof the Sharpe ratio本题考查的ST模型C是正确的。格雷建议采用Singer-Terhaar方法，房地产和市场之间的相关性为0.39。使用以下步骤来求解预期收益:完全整合风险溢价: R P i ,G = β i,GM R P GM = ρ i,GM σ i (R P GM/ σ GM)完全分割风险溢价: R P i ,S =1×R P i, S =1× σ i( R P i S /σ i)B是不正确的。在第一步中，它错误地使用0.0075的协方差代替夏普比率。A是不正确的。它错误在于颠倒了权重。 β = CoV / Vkarket = 0.0075/ 0.11392 =0.58 integrate部分=0.6*0.58*(7.2%-3.1%)=1.4268%

2023-01-14 22:16 1 · 回答