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eva · 2024年03月28日

不是这个公式么?算不出来呢?

NO.PZ2023090501000080

问题如下:

A risk analyst at an asset management company is assessing the past performance of an internally managed equity fund. The analyst obtains the following information on the market and the fund over the last year:

•Treynor performance index for the fund: 8.00%

•Return of the market portfolio: 5.60%

•Beta of the fund: 0.65

•Risk-free rate of interest: 1.75%

Based on the information above, what is the Jensen's alpha for the equity fund over the same period?

选项:

A.

2.40%

B.

2.70%

C.

3.69%

D.

4.15%

解释:

Explanation B is correct. The formula that shows the link between the Treynor performance index (TPI) and Jensen's alpha (a) is as follows:

TPI = α / beta + (Rm-Rf)

0.08= α /0.65 + (0.056-0.0175)

α = 0.026975

A is incorrect. This is obtained from 0.08-0.056=0.024.

C is incorrect. This is obtained from (0.08-0.056)/0.65=0.03692307692.

D is incorrect. This is obtained from 0.0175+0.024=0.0415.

Section Foundations of Risk Management

Learning

Objective Calculate, compare, and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino rati0.

Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 5. Modern Portfolio Theory and the Capital Asset Pricing Model.


可以列过程么?谢老師

2 个答案

李坏_品职助教 · 2024年10月19日

嗨,爱思考的PZer你好:


Ri指的是股票(或者股票组合)的收益率。题目先给出Treynor performance index for the fund(意思是这个股票组合的treynor比率是) 8.00%,那么Treynor index = (Ri-Rf)/ β = 8%,可以求出这个股票组合的收益率Ri是0.0695.

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努力的时光都是限量版,加油!

李坏_品职助教 · 2024年03月28日

嗨,从没放弃的小努力你好:


这个公式没问题,但是我们需要先求出Ri。

题目给了Treynor performance index for the fund: 8.00%,而Treynor index = (Ri-Rf)/ β = 8%,题目给出Rf=1.75%, β=0.65,代入可得Ri=0.0695.

所以Jensen's alpha = Ri - [Rf + β*(Rm - Rf)] = 0.0695 - [1.75% + 0.65*(5.6%-1.75%)] = 2.70%.

所以选B。


答案解析用的是另一个公式:


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虽然现在很辛苦,但努力过的感觉真的很好,加油!

一只🐶哆啦 · 2024年10月19日

ri是什么呀老师,我能理解以上全部内容但是不明白ri的具体含义,谢谢老师

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