NO.PZ201512181000007203
问题如下：
Based only on Statement 2, the risk measurement approach:
选项：
A.ignores right-tail events in the return distribution.
is similar to the Sharpe ratio because it is backward looking.
provides a relatively accurate risk estimate in both trending and volatile regimes.
解释：
A is correct.
Statement 2 indicates that the Equity Opportunities Fund reported a daily VaR value. One of the limitations of VaR is that it focuses so heavily on left-tail events (the losses) that right-tail events (potential gains) are often ignored.
B is incorrect because VaR is viewed as forward looking in that it uses the current portfolio holdings and measures its potential loss. The Sharpe ratio represents a backward-looking, return-based measure and is used to assess the skill of the manager.
C is incorrect because VaR does not provide an accurate risk estimate in either trending or volatile regimes. A portfolio might remain under its VaR limit every day but lose an amount approaching this limit each day. Under such circumstances, the portfolio could accumulate substantial losses without technically breaching the VaR constraint. Also, during periods of low volatility, VaR will appear quite low, underestimating the losses that could occur when the environment returns to a normal level of volatility.
这个结论没印象
