NO.PZ2024020101000025
问题如下：
Finally, Mukilteo creates a model to simulate adding selected individual hedge fund strategies to the current portfolio with a 20% allocation. The IC’s primary considerations for a combined portfolio are (1) that the variance of the combined portfolio must be less than 90% of that of the current portfolio and (2) that the combined portfolio maximize the risk-adjusted return with the expectation of large negative events. Exhibit 1 provides historical performance and risk metrics for three simulated portfolios.
Based on the IC’s
primary considerations for a combined portfolio, which simulated hedge fund
strategy portfolio in Exhibit 1 creates the most suitable combined
portfolio?
选项：
A.Merger arbitrage
B.Systematic futures
C.Equity market neutral
解释：
C is correct. The
equity market-neutral strategy makes for a combined portfolio that has a
standard deviation below the maximum specified and has the highest Sortino
ratio.
The primary
consideration is that the variance of the combined portfolio must be less than
90% of that of the current portfolio. Since variance is the square of standard
deviation, the maximum variance allowed is
And standard deviation is the
square root of variance, so the maximum standard deviation allowed is：
All three portfolios are below
the maximum specified variance.
The next consideration is that
the portfolio should maximize the risk-adjusted return with the expectation of
large negative events. For hedge fund strategies with large negative events,
the Sortino ratio is a more appropriate measure of risk-adjusted return than
the Sharpe ratio. The Sharpe ratio measures risk-adjusted performance, where
risk is defined as standard deviation, so it penalizes both upside and downside
variability. The Sortino ratio measures risk-adjusted performance, where risk
is defined as downside deviation, so it penalizes only downside variability
below a minimum target return. Of the portfolios that meet the variance
requirement, the one with the highest Sortino ratio is the portfolio with the
equity market-neutral allocation, with a Sortino ratio of 1.80. Therefore, the
portfolio with the equity market-neutral allocation is the most suitable
portfolio for the considerations specified by the IC.
A is incorrect because the
portfolio with an allocation to the merger arbitrage hedge fund strategy, while
meeting the variance requirement, has a lower Sortino ratio (1.35) than the
portfolio with an allocation to the equity market-neutral hedge fund strategy
(1.80). Although the portfolio with the merger arbitrage allocation has the
lowest value of maximum drawdown (5.60), the relevant measure of downside risk
is the Sortino ratio. As a result, the portfolio with the equity market-neutral
allocation is the most suitable portfolio given the considerations specified by
the IC.
B is incorrect because the
portfolio with an allocation to the systematic futures hedge fund strategy,
while meeting the variance requirement, has a lower Sortino ratio (1.68) than
the portfolio with an allocation to the equity market-neutral hedge fund strategy.
As a result, the portfolio with the equity market-neutral allocation is the
most suitable portfolio given the considerations specified by the IC.
题目中要求 combined portfolio的方差必须比现在组合的方差的 90% 还要小，那么根据现在组合的方差情况计算出新加入的资产的标准差必须小于7.54，这一点所有的策略都符合。题目中还要求新的资产要最大化risk-adjusted return尤其是在市场下跌的时候，那么可以看到Equity market neutral策略的Sortino ratio是最大的，所以选C。
这边不考虑maximum drawdown最大不合适吗？和之前有一题，最后筛选了一个没有硬伤的组合比较，选择标准都不太统一。
