NO.PZ2019042401000050
问题如下：
A risk analyst at a bank is asked to prepare a report that tracks the relationship between volatility and asset performance. The analyst assesses the performance of various asset classes using empirical evidence over the last three decades and compares returns on those asset classes with changes in market volatility. Which of the following would be a correct statement for the analyst to include in the report?
选项：
A.
Currency strategies such as currency carry trades tend to perform well during periods of high volatility.
B.
When volatility is rising, all assets are either positively or negatively affected, with the exception of risk-free bonds.
C.
The relationship between stock returns and volatility is negative and does not change sign as the phase of the business cycle.
D.
When volatility is rising, stock returns tend to increase but bond returns tend to decrease.
解释：
A is incorrect. Currency strategies fare especially poorly in times of high volatility.
B is incorrect. Risk-free bonds tend to perform well during periods of high volatility.
D is incorrect. Stock returns also tend to decrease during periods of rising volatility.
波动率与Stock return不是成反比吗？怎么会取决于经济周期呢？可以解释一下吗？
