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书小儿 · 2024年10月21日

总体风险

NO.PZ2023090501000001

问题如下:

An analyst is evaluating the performance of a portfolio of Singaporean equities that is benchmarked to the Straits Times Index (STI). The analyst collects the following information about the portfolio and the benchmark index:

What is the Sharpe ratio of this portfolio?

选项:

A.

0.036

B.

0.047

C.

0.389

D.

0.461

解释:

Explanation: D is correct. The Sharpe ratio for the portfolio is:


Section Foundations of Risk Management

Learning Objective: Calculate, compare, and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino rati0.

Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 5. Modern Portfolio Theory and the Capital Asset Pricing Model.

SpI分母的总体风险为啥是11.5%

1 个答案

pzqa39 · 2024年10月22日

嗨,努力学习的PZer你好:


夏普比率是一种衡量投资组合风险调整后回报的指标,它将投资组合的超额回报(即回报率减去无风险利率)与投资组合的总风险(标准差)进行比较。


所以这里用表格当中给的组合的标准差11.5%是没有问题的。

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