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Lin1f · 2025年06月08日

为什么不能从Sharpe Ratio的角度解答呢?

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NO.PZ202212260100002502

问题如下:

Judge which industry is most attractive from a valuation perspective.

选项:

解释:

Based on the above analysis, the Swiss Healthcare Industry would have the highest expected return. However, that expected return reflects compensation for systematic risk. Based on the data provided we cannot conclude which industry is most attractive from a valuation standpoint.

中文解析:

基于上述分析,瑞士医疗保健行业的预期回报最高。然而,这一预期回报反映了对系统性风险的补偿。根据提供的数据,我们无法从估值的角度得出哪个行业最具吸引力的结论。

Swiss Health Care Industry RM=(0.7)(12%/8.5%)(3.5%)=3.46% ; Sharpe ratio=3.46%/12%=0.288

Swiss Watch RM=(0.8)(6%/8.5%)(3.5%)=1.98%; Sharpe ratio=1.98%/6%=0.33

Swiss Consumer Products Industry RM=2.47%;Sharpe ratio=2.47%/7.5%=0.329

Based on the calculation result of sharpe ratio, Swiss watch will be the most attractive.


1 个答案

笛子_品职助教 · 2025年06月09日

嗨,从没放弃的小努力你好:


Hello,亲爱的同学~

这里题目要求从valuation perspective角度来回答。

但没有给出valuation perspective具体看什么。


如果看收益,最高的是Swiss Health Care Industry 。

如果看收益风险比(sharp ratio),最高的是Swiss Watch 。

两者出现了矛盾。


如果从从Sharpe Ratio角度回答,一定会另一个疑问:为何不从expected return角度回答。

因此没有结论。


不过同学也不用太纠结,考试的时候不太可能出这种没有结论的题。



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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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