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jaydengu · 2019年05月18日

portfolio

请问这道题想问的是啥,为啥突然和cash联系起来;


能否把题目想问的表达一下,多谢


题干:After examining the fund information, Lange is eager to explore manager evaluation. Dieter and Lange review three of Neckar’s fund managers with the following characteristics:

Manager 1: A fund holding stocks of companies located in the major European markets. Its benchmark is the FTSE Developed Europe Index.

Manager 2: A fund with a total return objective of exceeding the return of the FTSE Developed Europe Index Fund. The fund can hold up to 20% in cash.

Manager 3: A fund that holds eurozone sovereign bonds. Its benchmark is the S&P Eurozone Sovereign Bond 10+ Years Index.

题目


1 个答案

Wendy_品职助教 · 2019年05月20日

这道题的考点是:Sharpe ratio is unaffected by the addition of cash or leverage (created by borrowing risk-free cash) in a portfolio.

对于 Manager 2: A fund with a total return objective of exceeding the return of the FTSE Developed Europe Index Fund. The fund can hold up to 20% in cash. 然而:Sharpe ratio is unaffected by the addition of cash or leverage (created by borrowing risk-free cash) in a portfolio.在组合中cash or leverage并不影响组合的SR,因此无法用SR来衡量Manager 2的业绩。

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