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toffee · 2023年05月08日

这道题是在辨析公式吗?

* 问题详情,请 查看题干

NO.PZ202206140600000202

问题如下:

Based on the client’s investment mandate, the most appropriate appraisal measure for McNeil to use is the:

选项:

A.Sortino ratio. B.Treynor ratio. C.information ratio.

解释:

Solution

A is correct. Given that the fund mandate requirement is for a short-term return in excess of the risk-free rate, the Sortino ratio is a more appropriate measure because it penalizes returns below a specific return—in this case, 1.5% above the risk-free rate.

B is incorrect. The Treynor ratio penalizes returns below the risk-free rate. It will not measure the fund’s ability to meet the requirement of a short-term return in excess of the risk-free rate.

C is incorrect. The information ratio evaluates the portfolio return relative to a benchmark. It will not measure the fund’s ability to meet the requirement of a short-term return in excess of the risk-free rate.

题目里的意思是不是 组合的收益要达到一个在无风险收益的基础上+1.5%的一个目标收益率? 也就是(rf+1.5%) 可以看做是target return 也就是可接受的最小收益率, 所以就选择soTina ratio

而 TR 减去是rf

IR 减去的事Rb?

1 个答案

pzqa015 · 2023年05月08日

嗨,爱思考的PZer你好:


是的,1.5%+risk free rate是target

TR减去的是rf,IR减去的是rb


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