问题如下：
Kloss Investments is an investment adviser whose clients are small institutional investors. Muskogh Charitable Foundation (the
“Foundation”) is a client with $70 million of assets under management.
The Foundation has a traditional asset allocation of 65% stocks/35%
bonds. Risk and return characteristics for the Foundation’s current
portfolio are presented in Panel A of Exhibit 1.
Kloss’ CIO,
Christine Singh, recommends to Muskogh’s investment committee that it
should add a 10% allocation to hedge funds. The investment committee
indicates to Singh that Muskogh’s primary considerations for the
Foundation’s portfolio are that any hedge fund strategy allocation
should: a) limit volatility, b) maximize risk-adjusted returns, and c)
limit downside risk.
Singh’s associate prepares expected risk and
return characteristics for three portfolios that have allocations of 60%
stocks, 30% bonds, and 10% hedge funds, where the 10% hedge fund
allocation follows either an equity market-neutral, global macro, or
convertible arbitrage strategy. The risk and return characteristics of
the three portfolios are presented in Panel B of Exhibit 1.
Discuss which hedge fund strategy Singh should view as most suitable for meeting the considerations expressed by Muskogh’s investment committee.
选项：
解释：
Based on the investment committee’s considerations, Singh should view a 10% allocation to the global macro hedge fund strategy as most suitable for the Foundation. Such an allocation would result in a decrease in standard deviation (volatility) and significant increases in the combined portfolio’s Sharpe and Sortino ratios (these are the highest such ratios among the strategies presented). In addition, the lower maximum drawdown (15.0%) indicates less downside risk in the combined portfolio than with any of the other strategy choices.
limited volatility是macro strategy的特点吗？好像不是吧，而且macro strategy不是在low volatility的时候表现的不好吗？而且它diversification效果也不好，很容易受市场影响，所以为什么算是limited volatility？
