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polucn · 2024年08月07日

为什么不用SFR?

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ201805280100000302

问题如下：

A broker proposes to Young three portfolios, shown in Exhibit 1. The broker also provides Young with asset class estimated returns and portfolio standard deviations in Exhibit 2 and Exhibit 3, respectively. The broker notes that there is a $500,000 minimum investment requirement for alternative assets. Finally, because the funds in the money market account are readily investible, the broker suggests using that account only for this initial investment round.


Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. Young’s capital gains and overall tax rate is 25%.

Determine which proposed portfolio most closely meets Young’s desired objectives. (Circle one.) Justify your response.


选项：

解释：



题干中有Young wants to earn at least 6.0% after tax per year, without taking on additional incremental risk. 的要求。

那么在比较portfolio的时候是不是用SFR 更好呢？这样就是Portfolio 1 了

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1 个答案

lynn_品职助教 · 2024年08月07日

嗨，努力学习的PZer你好：


这道题我们用SFR并不合适。平时我们一般关注risk-adjusted return，风险调整后的收益，将风险和收益一同考虑，如夏普比率、SFR，可以认为是考虑收益的性价比。


如果本题写着base on risk-adjusted expected return，就应该用SFR。


但是这道题有点不太一样，它说希望满足最低6%的收益率，然后without taking on additional incremental risk，即既要考虑收益，也不希望产生增量风险。


这里其实是将收益和风险单独考虑，在满足收益要求的情况下，风险要足够低，所以是两条独立标准。


所以第一步就是计算各自组合的收益，发现它们三个都满足要求，但是组合1的风险远要大于组合3，所以这道题选组合3而不是组合1。

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