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506623496 · 2024年07月01日

疑问

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000302

问题如下：

A broker proposes to Young three portfolios, shown in Exhibit 1. The broker also provides Young with asset class estimated returns and portfolio standard deviations in Exhibit 2 and Exhibit 3, respectively. The broker notes that there is a $500,000 minimum investment requirement for alternative assets. Finally, because the funds in the money market account are readily investible, the broker suggests using that account only for this initial investment round.


Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. Young’s capital gains and overall tax rate is 25%.

Determine which proposed portfolio most closely meets Young’s desired objectives. (Circle one.) Justify your response.


选项：

解释：



本题如果用SFR 也是选组合3吧？

另一个回答里提问说是按照SFR选组合1？不对吧

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2 个答案

Lucky_品职助教 · 2024年07月03日

嗨，努力学习的PZer你好：


同学你好：


这道题我们用SFR并不合适。平时我们一般关注risk-adjusted return，风险调整后的收益，将风险和收益一同考虑，如夏普比率、SFR，可以认为是考虑收益的性价比。

如果本题写着base on risk-adjusted expected return，就应该用SFR。

但是这道题有点不太一样，它说希望满足最低6%的收益率，然后without taking on additional incremental risk，即既要考虑收益，也不希望产生增量风险。

这里其实是将收益和风险单独考虑，在满足收益要求的情况下，风险要足够低，所以是两条独立标准。

所以第一步就是计算各自组合的收益，发现它们三个都满足要求，但是组合1的风险远要大于组合3，所以这道题选组合3而不是组合1。

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506623496 · 2024年07月03日

我的意思是，如果算SFR，也是要选组合3，答案和现在的答案结果是一样的吧?

Lucky_品职助教 · 2024年07月02日

嗨，努力学习的PZer你好：


同学你好：


Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. 这一句提到风险目标。常用风险和收益的综合指标，risk-adjusted return，如夏普比率最高来选择最佳组合，就只有一个标准。但这个题目是将收益和风险分开组合，第一个标准是收益要满足最低6%，计算后发现三个组合都满足；第二个标准是风险尽可能低，即要选择标准差或者方差最低的组合。


sharpe ratio衡量的是单位风险下的超额收益，在正常情况下用于选择最优的投资组合权重，或是在不同投资组合之间进行对比。Safty-First ratio (SFR), 它与夏普比率在计算上唯一的区别是，分子计算超额收益时，夏普比率是用无风险收益率作为基准利率，而SFR则使用的是required return threshold，也就是投资者给出了最低的需求收益率。SFR的目的就是最小化shortfall risk。一般在计算的时候，如果题干里给了required return threshold，那我们就要用SFR，没给的话，就是用夏普比率来比较就可以。

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努力的时光都是限量版，加油！

506623496 · 2024年07月02日

没回答我的疑问哈，这道题如果从SFR的角度考虑，答案也是不变的，仍是选择组合3吧？此外，题目也说了6%是要求的收益率，综上，我觉得用这个比率没问题啊

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