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aileen20180623 · 2022年01月02日

课件146页

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NO.PZ202110140100000402

问题如下:

Based on Exhibit 1, Ruckey should conclude that:

选项:

A.Factor Strategy 3 has the highest portfolio turnover. B.Factor Strategy 2 has less downside risk than Strategy 3. C.Factor Strategy 2 has the highest returns.

解释:

B is correct.

Both VaR and maximum drawdown are downside risk measures, and both measures are lower for Strategy 2 than Strategy 3.

A is incorrect. We cannot deduce portfolio turnover from the metrics provided in Exhibit 1.

C is incorrect. We cannot deduce returns from the metrics provided in Exhibit 1.

课件里146页不是说在 the disturibtion BM和RP,in nonrecession , more flatten, which implies high standard deviation .

这里是不是代表high standard deviation表明它return更高

请问这里和c之间是不是矛盾?

C is incorrect. We cannot deduce returns from the metrics provided in Exhibit 1.



1 个答案

星星_品职助教 · 2022年01月05日

同学你好,

146页反应的是原版书上给出的portfolio的数据。和本题的portfolio是不同的数据,两者完全没有关系。不能拿来类比。

此外146页也不能得出“high standard deviation表明它return更高”这个结论,只是这个portfolio恰好呈现出了这个特点。

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