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郎布斯吃苹果 · 2021年05月04日

没太懂,为什么不能选C,另外其他错误选项是否也可以解释下呢

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NO.PZ201909300100000205

问题如下:

5 The maximum drawdown and drawdown duration in Exhibit 1 indicate that:

选项:

A.

the portfolio recovered quickly from its maximum loss.

B.

over the 10-year period, the average maximum loss was –24.00%.

C.

a significant loss once persisted for four months before the portfolio began to recover.

解释:

A is correct.

Maximum drawdown is the cumulative peak-to-trough loss during a continuous period. Drawdown duration is the total time from the start of the drawdown until the cumulative drawdown recovers to zero, which can be segmented into the drawdown phase (start to trough) and the recovery phase (trough to zero cumulative return). The maximum drawdown was –24.00%, with a drawdown period of four months. Given the 10-year time frame, the portfolio recovered quickly from its maximum loss.

没太懂,为什么不能选C,另外其他错误选项是否也可以解释下呢

1 个答案

吴昊_品职助教 · 2021年05月04日

嗨,从没放弃的小努力你好:


同学你好:

B选项:maxmium drawdown并不是一个“average”的概念,所以B选项错误,改为over the 10-year period, the maximum drawdown is “-24%”就对了。

C选项:drawdown duration指的是从下降开始,到累积的drawdown达到最大值-24%,再到恢复到0,这三个步骤加在一起的时间是四个月。而不是开始恢复之前,loss持续了四个月,所以C选项错误。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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