问题如下图：
请问这道题从什么角度去思考？考的是哪个知识点 谢谢
包包_品职助教 · 2020年01月23日
嗨，爱思考的PZer你好：
这道题主要是根据题干中提供的信息来判断：
你看题目中说any hedge fund strategy allocation should: a) limit volatility, b) maximize risk-adjusted returns, and c) limit downside risk.
那你就看这3个hedge fund 里面哪个能够满足这个要求：
首先limit volatility，那就是比较标准差，standardvation 即SD，你看三个基金里面全球宏观的SD是最小的；
其次 maximize risk-adjusted returns，在表格提供的指标里面，sharp ratio 和 sortino ratio 都是衡量 risk-adjusted returns，这个指标越大肯定就越好，三个基金里面，全球宏观的是最大的
最后就是limit downside risk，衡量这个的指标是maxmium drawdown，这个指标越小越好，三个基金里面全球宏观是最小的
所以选择全球宏观。这个题目一方面要看懂题目的意思，另一方面要知道表格里面给出这个指标衡量的是什么意思。知道了这两点就好判断了。
-------------------------------虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ2019122802000024 问题如下 Kloss Investments is investment aiser whose clients are small institutioninvestors. Muskogh Charitable Fountion (the “Fountion”) is a client with $70 million of assets unr management. The Fountion ha trationasset allocation of 65% stocks/35% bon. Risk anreturn characteristifor the Fountion’s current portfolio are presentein Panel A of Exhibit 1.Kloss’ CIO, Christine Singh, recommen to Muskogh’s investment committee thit shoula a 10% allocation to hee fun. The investment committee incates to Singh thMuskogh’s primary consirations for the Fountion’s portfolio are thany hee funstrategy allocation shoul limit volatility, maximize risk-austereturns, anlimit wnsi risk.Singh’s associate prepares expecterisk anreturn characteristifor three portfolios thhave allocations of 60% stocks, 30% bon, an10% hee fun, where the 10% hee funallocation follows either equity market-neutral, globmacro, or convertible arbitrage strategy. The risk anreturn characteristiof the three portfolios are presentein Panel B of Exhibit 1.scuss whihee funstrategy Singh shoulview most suitable for meeting the consirations expresseMuskogh’s investment committee. Baseon the investment committee’s consirations, Singh shoulview a 10% allocation to the globmacro hee funstrategy most suitable for the Fountion. Suallocation woulresult in a crease in stanrviation (volatility) ansignificant increases in the combineportfolio’s Sharpe anSortino ratios (these are the highest suratios among the strategies presente. In aition, the lower maximum awwn (15.0%) incates less wnsi risk in the combineportfolio thwith any of the other strategy choices.这道题主要是根据题干中提供的信息来判断你看题目中说any hee funstrategy allocation shoul limit volatility, maximize risk-austereturns, anlimit wnsi risk.那你就看这3个hee fun里面哪个能够满足这个要求首先limit volatility，那就是比较标准差，stanration 即S你看三个基金里面全球宏观的S最小的；其次 maximize risk-austereturns，在表格提供的指标里面，sharp ratio 和 sortino ratio 都是衡量 risk-austereturns，这个指标越大肯定就越好，三个基金里面，全球宏观的是最大的最后就是limit wnsi risk，衡量这个的指标是maxmium awwn，这个指标越小越好，三个基金里面全球宏观是最小的所以选择全球宏观。这个题目一方面要看懂题目的意思，另一方面要知道表格里面给出这个指标衡量的是什么意思。知道了这两点就好判断了。 这道题这样答可以吗？还是还需要多写点什么？Globmacro.it hthe lowest volatility (limit volatility), highest Sortino ratio (maximize risk-austereturns), anlowest maximum awwn (limit wnsi risk).
NO.PZ2019122802000024 问题如下 Kloss Investments is investment aiser whose clients are small institutioninvestors. Muskogh Charitable Fountion (the “Fountion”) is a client with $70 million of assets unr management. The Fountion ha trationasset allocation of 65% stocks/35% bon. Risk anreturn characteristifor the Fountion’s current portfolio are presentein Panel A of Exhibit 1.Kloss’ CIO, Christine Singh, recommen to Muskogh’s investment committee thit shoula a 10% allocation to hee fun. The investment committee incates to Singh thMuskogh’s primary consirations for the Fountion’s portfolio are thany hee funstrategy allocation shoul limit volatility, maximize risk-austereturns, anlimit wnsi risk.Singh’s associate prepares expecterisk anreturn characteristifor three portfolios thhave allocations of 60% stocks, 30% bon, an10% hee fun, where the 10% hee funallocation follows either equity market-neutral, globmacro, or convertible arbitrage strategy. The risk anreturn characteristiof the three portfolios are presentein Panel B of Exhibit 1.scuss whihee funstrategy Singh shoulview most suitable for meeting the consirations expresseMuskogh’s investment committee. Baseon the investment committee’s consirations, Singh shoulview a 10% allocation to the globmacro hee funstrategy most suitable for the Fountion. Suallocation woulresult in a crease in stanrviation (volatility) ansignificant increases in the combineportfolio’s Sharpe anSortino ratios (these are the highest suratios among the strategies presente. In aition, the lower maximum awwn (15.0%) incates less wnsi risk in the combineportfolio thwith any of the other strategy choices.这道题主要是根据题干中提供的信息来判断你看题目中说any hee funstrategy allocation shoul limit volatility, maximize risk-austereturns, anlimit wnsi risk.那你就看这3个hee fun里面哪个能够满足这个要求首先limit volatility，那就是比较标准差，stanration 即S你看三个基金里面全球宏观的S最小的；其次 maximize risk-austereturns，在表格提供的指标里面，sharp ratio 和 sortino ratio 都是衡量 risk-austereturns，这个指标越大肯定就越好，三个基金里面，全球宏观的是最大的最后就是limit wnsi risk，衡量这个的指标是maxmium awwn，这个指标越小越好，三个基金里面全球宏观是最小的所以选择全球宏观。这个题目一方面要看懂题目的意思，另一方面要知道表格里面给出这个指标衡量的是什么意思。知道了这两点就好判断了。 如果万一考试没有这个表，就按照这三个策略的概念对比来说的话，是不是EMN更符合那三个要求？
NO.PZ2019122802000024 问题如下 Kloss Investments is investment aiser whose clients are small institutioninvestors. Muskogh Charitable Fountion (the “Fountion”) is a client with $70 million of assets unr management. The Fountion ha trationasset allocation of 65% stocks/35% bon. Risk anreturn characteristifor the Fountion’s current portfolio are presentein Panel A of Exhibit 1.Kloss’ CIO, Christine Singh, recommen to Muskogh’s investment committee thit shoula a 10% allocation to hee fun. The investment committee incates to Singh thMuskogh’s primary consirations for the Fountion’s portfolio are thany hee funstrategy allocation shoul limit volatility, maximize risk-austereturns, anlimit wnsi risk.Singh’s associate prepares expecterisk anreturn characteristifor three portfolios thhave allocations of 60% stocks, 30% bon, an10% hee fun, where the 10% hee funallocation follows either equity market-neutral, globmacro, or convertible arbitrage strategy. The risk anreturn characteristiof the three portfolios are presentein Panel B of Exhibit 1.scuss whihee funstrategy Singh shoulview most suitable for meeting the consirations expresseMuskogh’s investment committee. Baseon the investment committee’s consirations, Singh shoulview a 10% allocation to the globmacro hee funstrategy most suitable for the Fountion. Suallocation woulresult in a crease in stanrviation (volatility) ansignificant increases in the combineportfolio’s Sharpe anSortino ratios (these are the highest suratios among the strategies presente. In aition, the lower maximum awwn (15.0%) incates less wnsi risk in the combineportfolio thwith any of the other strategy choices.这道题主要是根据题干中提供的信息来判断你看题目中说any hee funstrategy allocation shoul limit volatility, maximize risk-austereturns, anlimit wnsi risk.那你就看这3个hee fun里面哪个能够满足这个要求首先limit volatility，那就是比较标准差，stanration 即S你看三个基金里面全球宏观的S最小的；其次 maximize risk-austereturns，在表格提供的指标里面，sharp ratio 和 sortino ratio 都是衡量 risk-austereturns，这个指标越大肯定就越好，三个基金里面，全球宏观的是最大的最后就是limit wnsi risk，衡量这个的指标是maxmium awwn，这个指标越小越好，三个基金里面全球宏观是最小的所以选择全球宏观。这个题目一方面要看懂题目的意思，另一方面要知道表格里面给出这个指标衡量的是什么意思。知道了这两点就好判断了。 globmacro hee funstrategy is most suitable.the portfolio with a 10% hee funto globmacro ha lowest S8.55% with limitevolatility anhighest risk-austereturns sharpe ratio ansortino ratio anlowest maximum awwn with limitewnsi risk.
NO.PZ2019122802000024 为什么limitewnsi risk 是maximum awwn呀
NO.PZ2019122802000024 为什么这里不是用limitewnsi risk去判断sortino ratio大啊。