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思思 · 2024年06月07日

ratio1是sharpe ratio，ration3是Treynor ratio，ratio2是什么

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000404

问题如下：

The asset allocation choice in Exhibit 2 that has the highest probability of meeting the committee’s desired return criteria is allocation:

选项：

A.3

B.1

C.2

解释：

Solution

C is correct. The allocation that has the highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expected annual return – target return)/return volatility, which is Ratio 2 in Exhibit 2. Allocation 2 has the highest value for this ratio.

B is incorrect. Allocation 2 has the highest value for Ratio 2. Allocation 1 has the highest Sharpe Ratio.

A is incorrect. Allocation 2 has the highest value for this Ratio 2. Allocation 3 has the highest Treynor Measure.

ratio1是sharpe ratio，ration3是Treynor ratio，ratio2是什么？为什么不选sharpe ratio最高的

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1 个答案

lynn_品职助教 · 2024年06月11日

嗨，从没放弃的小努力你好：


是information ratio


这类题的解题步骤：

第一步 看题目中有没有提到risk-adjusted expected return,

第二步 就是计算各自组合的收益（一般来说如果没有提到risk那就只靠收益来判断就可以了）

第三步 在提到risk- adjusted的情况下，用SFR还是SR就看最低期望收益率了，因为这两个都是风险调整后的收益，此时如果说了要满足目标收益率而不是risk free rate就一定要使用SFR。


如这道题提到 meeting the committee’s desired return criteria，就是不能用Sharpe ratio了。


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