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庄园monar · 2022年05月09日

为什么不能用sharp ratio来衡量？ratio越高风险越高？

  1. CFA I
  2. Portfolio

NO.PZ2018070201000092

问题如下：

Tim, an analyst of an investment company forecasts the return and deviation of below securities. Based on these information, which statement is most correct:


 

选项：

A.

Security A has the highest total risk.

B.

Security B has the highest total risk.

C.

Security C has the highest total risk.

解释：

A is correct.

The total variance of security A is 0.3 2 =0.09

The total variance of security B is  0.25 2 =0.0625

The total variance of security C is  0.25 2 =0.0625

The total variance of A >The total variance of B =The total variance of C.

Security A has the highest total risk.

为什么不能用sharp ratio来衡量？ratio越高风险越高？

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1 个答案

Kiko_品职助教 · 2022年05月10日

嗨，努力学习的PZer你好：


Sharpe ratio衡量的是单位风险带来的收益是多少。这道题直接问的是风险，衡量风险的就是标准差和方差。

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