这题的逻辑不太明白

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.