actual return 和 hyphothetic return

问题如下：

An analyst at bank LKS has been asked to validate the bank’s VaR model through backtesting. The analyst uses two sets of returns data to generate results of predicted and actual losses that can be compared in the validation process. Which of the following correctly describes the two most appropriate sets of returns data to use in backtesting?

选项：

A.The cleaned returns, which are the actual returns minus any profit and loss from intraday trades, and the actual returns, which correspond to the total returns on the bank’s trading portfolio.

B.The actual returns, which correspond to the total return on the bank’s trading portfolio, and the hypothetical returns, which represent the returns obtained from freezing the starting positions in the bank’s trading portfolio.

C.The hypothetical returns, which represent the returns obtained from freezing the starting positions in the bank’s trading portfolio, and the cleaned returns, which are the actual returns minus any profit and loss from intraday trades.

D.The trading returns, which are the actual returns minus any fees and commissions, and the hypothetical returns, which represent the actual returns obtained from freezing the starting positions in the bank’s trading portfolio.

解释：

B is correct. Ideally, the analyst will use both the actual and hypothetical returns for backtesting since both yield informative comparisons. If the model passes backtesting with hypothetical but not actual returns, the problem in the model lies with intraday trading. If the model does not pass backtesting with hypothetical returns, the modelling methodology should be re-examined. A is incorrect. The descriptions of the cleaned returns are not correct, and these are not the correct two sets of returns that the analyst should use. Cleaned returns will also subtract any fees, commissions, net interest margin from actual returns. The correct definition of cleaned returns can sometimes be used as an approximation of hypothetical returns, but not the incorrectly defined returns stated here. C is incorrect. These are not the correct two sets of returns that the analyst should use, and the description of cleaned returns is incorrect. D is incorrect. There is not a return set that is called trading returns.