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Cindy · 2024年02月25日

本题这样理解对不对

  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.


先根据策略2比策略1整体数值更大 策略2表现更好 排除b

然后 策略2内部 volatility之间选大的数 recession之间选大的数 得到选项a


因为答案解析是做差判断 我不太理解 所以问一下我的思路是否正确 还是说应该从出题人的角度来思考

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1 个答案

品职助教_七七 · 2024年02月25日

嗨，爱思考的PZer你好：


先根据策略2比策略1整体数值更大 策略2表现更好 排除b---------------对。

然后 策略2内部 volatility之间选大的数 recession之间选大的数 得到选项a------------对。原因仍为为Sharpe ratio越大越好。以volatility为例，在low volatility时，策略2的SR要比策略1大1.56-0.88=0.68；在high volatility时，策略2的SR要比策略1大1.60-0.64=0.96。通过这个对比可以很容易的看出，low volatility时，策略2要比策略1的SR大的更多。

所以，相比high volatility的情况，在low volatility时策略2比策略1表现的更加好。由此得出在volatility背景下的best risk-adjusted performance是low volatility时的情况。Recession的情况同理，这是做差的原因。

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