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秋樣 · 2024年01月23日

Equity - skewness

  1. CFA III
  2. Equity

* 问题详情，请 查看题干

NO.PZ201809170400000508

问题如下：

Which risk measure does Fund 3’s new risk control explicitly constrain?

选项：

A.

Volatility

B.

Skewness

C.

Drawdown

解释：

B is correct. Skewness measures the degree to which return expectations are non-normally distributed. If a distribution is positively skewed, the mean of the distribution is greater than its median—more than half of the deviations from the mean are negative and less than half are positive—and the average magnitude of positive deviations is larger than the average magnitude of negative deviations. Negative skew indicates that that the mean of the distribution lies below its median, and the average magnitude of negative deviations is larger than the average magnitude of positive deviations. Fund 3’s new risk control constrains its model’s predicted return distribution so that no more than 60% of the deviations from the mean are negative. This is an explicit constraint on skewness.

If a distribution is positively skewed, the mean of the distribution is greater than its median—more than half of the deviations from the mean are negative and less than half are positive—and the average magnitude of positive deviations is larger than the average magnitude of negative deviations.


Negative skew indicates that that the mean of the distribution lies below its median, and the average magnitude of negative deviations is larger than the average magnitude of positive deviations. Fund 3’s new risk control constrains its model’s predicted return distribution so that no more than 60% of the deviations from the mean are negative. 


老师好，一级知识全忘了，上面划线部分没读懂，我知道右偏的mean>median和mode，但其他理解不了，麻烦解释下，谢谢

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1 个答案

笛子_品职助教 · 2024年01月23日

嗨，爱思考的PZer你好：


老师好，一级知识全忘了，上面划线部分没读懂，我知道右偏的mean>median和mode，但其他理解不了，麻烦解释下，谢谢


Hello，亲爱的同学~

偏度是指：mean左边的数值点，与mean右边的数值点，数量不等。

例如，一个概率分布，50%的数值点在mean左边，50%的数值点在mean右边。

这样两边对称，就符合正态分布。


如果mean两边不对称，例如60%数值在mean左边，40%数值在mean右边，这就是偏态分布。

同学就以这个标准，来识别偏态分布即可。


结合本题：本题说，在mean左边的数值点，不会超过60%。意味着，mean的左右可以不对称。

因此是偏态分布。


本题实际上有一定难度，因为equity原版书正文并没有对Skewness详细做介绍。毕竟Skewness是一级内容。

同学这里了解一下即可。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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