portfolio turnover

问题如下：

Yuen and Ruckey consider a variety of metrics to assess the results of the factor portfolio backtests. Yuen asks Ruckey what can be concluded from the data for three of the factor strategies in Exhibit 1.

Based on Exhibit 1, Ruckey should conclude that:

选项：

Factor Strategy 3 has the highest portfolio turnover.

Factor Strategy 2 has less downside risk than Strategy 3.

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.