NO.PZ2024020101000024
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. Which
of the funds is the most suitable addition to the portfolio.
选项：
A.Fund 1 B.Fund 2 C.Fund 3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.
首先根据sharp ratio可以排除Fund2，其次根据maximum drawdown可以排除Fund1，Fund3是最能满足题目要求的。
Sortino Ratio和Maximum Drawdown是一个类型，Sharp Ratio是一个类型。所以这两个类型中分别取出一个指标，进行判断？
