A选项

NO.PZ202110140100000504 问题如下 Whiof the following conclusions of Exhibit 1 is least likely to true? A.5% of the time, losses from Factor 1 woulleast 6.49%. B.When the Vis exceein Factor 1, we shoulexpeaverage loss of 15.73%. C.5% of the time, losses from Factor 2 are likely to worse thlosses from Factor 1. C is correct. The Vmetriin Exhibit 1 show th5% of the time, losses will least 6.49% an0.77%, respectively, for Factor 1 anFactor 2. The CVmetriin Exhibit 1 show ththe weighteaverage of all loss outcomes thexceethe Vloss are 15.73% an4.21% for Factor 1 anFactor 2, respectively. Thus, A is true because it correctly fines VaR, anB is true because it correctly fines CVaR, whereC is untrue because both VanCVare lower for Factor 2 thFactor 1. B为啥不对呢？

NO.PZ202110140100000504 问题如下 Kata Rom is equity analyst working for GiminghWealth Partners (GWP), a large investment aisory company. Rom meets with GorGalia Canaprivate wealth client, to explain investment strategies useGWP to generate portfolio alpha for its clients. om states thGWP is recognizein the Canainvestment instry a leang factor-basevalue portfolio manager anscribes how GWP creates relevant investment strategies anexplains GWP’s backtesting process. Rom notes the following: Statement 1 Using historictbacktesting approximates a real-life investment process to illustrate the risk–return traoff of a particulproposeinvestment strategy. Statement 2 Backtesting is usealmost exclusively quantitative investment managers anrarely funmentinvestment managers, who are more concernewith information suforwarestimates of company earnings, macroeconomic factors, anintrinsic values. Galiwho is 62 years ol cis to allocate C$2 million (representing 10% of his net worth) to account with GWP anstipulates thportfolio assets restricteexclusively to mestic securities. Although GWP hnot backtesteits strategies with sua restriction, it hbacktesteits strategies using a globinx thinclus mestic securities. Rom shows the following risk measures to Galic for three factor portfolios.Exhibit 1 wnsi Risk Measures for Mol FactorsGalic asks Rom, “Whhappens if the future is fferent from the past?” Rom gives the following replies: Statement 3: Although backtesting coffer some comfort, you are correthit es have a weakness: Backtesting generally es not capture the namic nature of financimarkets anin particulmnot capture extreme wnsi risk.Statement 4: a result, we have captureextreme wnsi risk anthe namic nature of financimarkets using the Value-at-Risk anContionValue-at-Risk measures. In effort to make Galic fully aware of the risks inherent in GWP’s strategies, Rom scribes a recent stu thinvestigatethe return stributions of value anmomentum factors thGWP uses to construportfolios. The stu founththese stributions were non-normbaseon their negative skewness, excess kurtosis, antail pennce. Rom incatethinvestment strategies baseon this type of ta are prone to significantly higher wnsi risk. Rom informs Galic thGWP also uses a technique commonly referreto scenario analysis to examine how strategies perform in fferent structurregimes. Exhibit 2 compares the performanof two of GWP’s factor allocation strategies in fferent regimes:Exhibit 2 Scenario Analysis Using the Sharpe RatioGalic is surpriseto see thsome of the backtest results are unfavorable. He asks, “Why hGWP not consirestrategies thperform better in backtesting?” Galic recently met with Fastlane Wealth Managers, who showemubetter performanresults. The portfolio manager Fastlane tolGalic ththe company selects the top-performing strategies after performing thousan of backtests. Whiof the following conclusions of Exhibit 1 is least likely to true? A.5% of the time, losses from Factor 1 woulleast 6.49%. B.When the Vis exceein Factor 1, we shoulexpeaverage loss of 15.73%. C.5% of the time, losses from Factor 2 are likely to worse thlosses from Factor 1. C is correct. The Vmetriin Exhibit 1 show th5% of the time, losses will least 6.49% an0.77%, respectively, for Factor 1 anFactor 2. The CVmetriin Exhibit 1 show ththe weighteaverage of all loss outcomes thexceethe Vloss are 15.73% an4.21% for Factor 1 anFactor 2, respectively. Thus, A is true because it correctly fines VaR, anB is true because it correctly fines CVaR, whereC is untrue because both VanCVare lower for Factor 2 thFactor 1. B描述的不是ES吗 expecteshortfall

NO.PZ202110140100000504 老师,但是最大损失,Factor2要比Factor1大啊,所以C是不是没表示清楚?