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皓月 · 2024年10月01日

这题虽然作对了

  1. CFA III
  2. Asset Allocation

* 问题详情，请 查看题干

NO.PZ202206210100000404

问题如下：

The asset allocation choice in Exhibit 2 that has the highest probability of meeting the committee’s desired return criteria is allocation:

选项：

A.3 B.1 C.2

解释：

Solution

C is correct. The allocation that has the highest probability of meeting the target return of 5% annually generates the highest value for the ratio: (expected annual return – target return)/return volatility, which is Ratio 2 in Exhibit 2. Allocation 2 has the highest value for this ratio.

B is incorrect. Allocation 2 has the highest value for Ratio 2. Allocation 1 has the highest Sharpe Ratio.

A is incorrect. Allocation 2 has the highest value for this Ratio 2. Allocation 3 has the highest Treynor Measure.

就是想问问ratio 3是什么ratio

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已采纳答案

Lucky_品职助教 · 2024年10月08日

嗨，从没放弃的小努力你好：


同学你好：


我们在AA中， 会涉及到三个ratio, 包括：夏普比率（Sharpe Ratio）、特雷诺比率（Treynor Ratio）以及SFR（Safty-First ratio），这三个ratio 计算的都是risk-adjusted expected return， 风险调整后的预期收益，核心思想是在考虑预期收益的同时，也将风险因素纳入考量，以更准确地反映投资的性价比。


Sharpe Ratio 同学应该已经很熟悉了，Safty-First ratio (SFR), 它与夏普比率在计算上唯一的区别是，分子计算超额收益时，夏普比率是用无风险收益率作为基准利率，而SFR则使用的是required return threshold，也就是投资者给出了最低的需求收益率。SFR的目的就是最小化shortfall risk。一般在计算的时候，如果题干里给了required return threshold，那我们就要用SFR，没给的话，就是用夏普比率来比较就可以。


而Treynor Ratio（特雷诺比率）的计算公式为：Treynor Ratio =（投资组合预期收益率 - 无风险利率）/ 投资组合的 β 系数。它和Sharpe Ratio 的区别在于，Treynor Ratio只衡量系统性风险，也就是分母β 系数所表达的，β 系数衡量了投资组合相对于市场整体波动的敏感性。例如，两个投资组合 A 和 B，A 的收益率为 15%，β 系数为 1.5；B 的收益率为 12%，β 系数为 1。如果无风险利率为 3%，A 的 Treynor Ratio=(15% - 3%)/1.5 = 8%，B 的 Treynor Ratio=(12% - 3%)/1 = 9%。尽管 A 的收益率更高，但 B 在考虑风险调整后的绩效更好。


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努力的时光都是限量版，加油！

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