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Jingwen · 2022年06月03日

那如何判断是Strategy1还是2呢？

  1. CFA II
  2. Portfolio

NO.PZ2021101401000021

问题如下：

Rom informs Galic that GWP also uses a technique commonly referred to as scenario analysis to examine how strategies perform in different structural regimes. Exhibit 2 compares the performance of two of GWP’s factor allocation strategies in different regimes:


Comparing the two strategies in Exhibit 2, the best risk-adjusted performance is demonstrated by:

选项：

A.

Strategy II in periods of low volatility and recession.

B.

Strategy I in periods of high volatility and non-recession.

C.

Strategy II in periods of high volatility and non-recession.

解释：

A is correct. Using the Sharpe ratio, the best risk-adjusted relative performance can be determined by comparing the sensitivity of the two strategies under differing macroeconomic regimes: recession versus non-recession and high volatility versus low volatility. The best risk-adjusted return will exhibit the highest Sharpe ratio.

Strategy II demonstrates higher risk-adjusted returns compared with Strategy I under all four macroeconomic conditions, particularly in periods of low volatility, when the Sharpe ratio outperformance is 0.96, and recessions, when the Sharpe ratio outperformance is 1.56.


这里看到的就是选择差值更大的那两个，那这个时候选项里正好只有Strategy1是符合这两个的，如果这里同时有Strategy 1和2，应该如何选择呢？有没有说哪个减哪个？

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1 个答案

王琛_品职助教 · 2022年06月04日

嗨，从没放弃的小努力你好：


1

我理解同学的意思是说，如果有一个选项的描述是：Strategy I in periods of low volatility and recession

那么和选项 A 相比，应该选择哪个是吧？

2

还是选择选项 A，因为题干问的是 the best risk-adjusted performance，其实指的就是 Sharpe ratio 最大的

Strategy I 的 Sharpe ratio 在四个情景下，都小于 Strategy II，所以即使新改编一个选项：Strategy I in periods of low volatility and recession

也还是选 A：Strategy II in periods of low volatility and recession

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