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鹏鹏 · 2024年01月10日

请问老师这样答可以不

  1. CFA III
  2. Alternative

NO.PZ2023010407000022

问题如下：

Franco is happy with the pairs trade explanation and asks Gary about the proposed allocation of alternative investments to his portfolio. Gary recommends an allocation to hedge funds of 15%. To demonstrate how the addition of hedge fund exposure would impact Franco’s portfolio, Gary presents Franco with the information in Exhibit 1. The table shows how Franco’s current portfolio metrics would change with a 15% allocation to the three different hedge funds.


Franco tells Gary to move forward with the fund he thinks would provide the best performance with the current portfolio.

Identify which of the funds is the most suitable addition to the portfolio. Justify your choice with two reasons.

选项：

解释：

Fund 3 is most suitable. The addition of Fund 3 to the current portfolio would increase both the Sharpe and Sortino ratios as well as lower the max drawdown.

请问老师这样答可以不

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1 个答案

伯恩_品职助教 · 2024年01月11日

嗨，从没放弃的小努力你好：


这个可以的

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2023010407000022 问题如下 Franis happy with the pairs tra explanation anasks Gary aboutthe proposeallocation of alternative investments to his portfolio. Garyrecommen allocation to hee fun of 15%. To monstrate how the aitionof hee funexposure woulimpaFranco’s portfolio, Gary presents Francowith the information in Exhibit 1. The table shows how Franco’s currentportfolio metriwoulchange with a 15% allocation to the three fferenthee fun.Frantells Garyto move forwarwith the funhe thinks woulprovi the best performanwiththe current portfolio. Intify whiof the fun is the most suitable aition to the portfolio.Justify your choiwith two reasons. Fun3 is mostsuitable. The aition of Fun3 to the current portfolio woulincrease boththe Sharpe anSortino ratios well lower the mawwn. 以下是我的回答fun3 is the most suitable aition to the portfolio.fun3 coulmake the potentiportfolio with a highest mereturn, whiimprove the performanof the current portfolio. the stanrviation will crease anthe sharp ration anthe sortino ration will improve the volatility of the potentiportfolio will lower ththe cunrrent portfolio. but the return will higher ththe current one. the maximum awwn is lower ththe current one, whimeans lower wnsi risk ththe current portfolio.If fun1 is aeinto the current portfolio, it will greatly increase the mawwn from 18.11% to 25.26%. there will a greater wnsi risk anmight crease the performence. the fun2 will crease the mereturn of the potentiportfolio. it is not the best choifor the best performanaition. Above all, fun3 will a best choifor the best performanwith the current portfolio.当我看到答案时，我真要吐血了，到底这种主观题的回答深度或者颗粒度要在什么区间？

2023-12-30 12:18 1 · 回答

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2023-07-23 23:01 1 · 回答