问题如下：
Based only on Statement 2, the risk measurement approach:
选项：
A.ignores right-tail events in the return distribution.
is similar to the Sharpe ratio because it is backward looking.
provides a relatively accurate risk estimate in both trending and volatile regimes.
解释：
A is correct. Statement 2 indicates that the Equity Opportunities Fund reported a daily VaR value. One of the limitations of VaR is that it focuses so heavily on left-tail events (the losses) that right-tail events (potential gains) are often ignored.
B is incorrect because VaR is viewed as forward looking in that it uses the current portfolio holdings and measures its potential loss. The Sharpe ratio represents a backward-looking return-based measure and is used to assess the skill of the manager.
C is incorrect because VaR does not provide an accurate risk estimate in either trending or volatile regimes. A portfolio might remain under its VaR limit every day but lose an amount approaching this limit each day. Under such circumstances, the portfolio could accumulate substantial losses without technically breaching the VaR constraint. Also, during periods of low volatility, VaR will appear quite low, underestimating the losses that could occur when the environment returns to a normal level of volatility.
老师，为什么说var是forward looking ? VaR何老师说过是偏向历史的，historical ， parametric也是用历史数据算sigma 和 miu， monta 的error term也是一般基于历史经验给他一个分布。 所以都是偏向历史。 但是B选项的解释说var用current data 预估未来， 所以是forward looking， 感觉说的很牵强。 明明current data也是发生过了的，所以应该是是past data。
而且按照它说的预估未来就是forward looking ，那sharp ratio不也是看基金经理过去表现而让投资者对其未来表现有个预估么不就是forward looking么？投资者也就是停于看其过去表现就完了，都是按照过去来判断是否未来信任他。所以答案说var 用current data 所以是forward looking是不是写得不对呀？
