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ciaoyy · 2020年02月11日

问一道题:NO.PZ2019093001000020 [ CFA III ]

问题如下:

In a quarter, an investment manager’s upside capture is 75% and downside capture is 125%. We can conclude that the manager underperforms the benchmark:

选项:

A.

only when the benchmark return is positive.

B.

only when the benchmark return is negative.

C.

when the benchmark return is either positive or negative.

解释:

C is correct.

Upside capture of 75% suggests that the manager only gained 75% of benchmark increase when the benchmark return was positive. Downside capture of 125% suggests that the manager lost 125% as much as the benchmark when the benchmark return was negative. Therefore, the manager underperformed the benchmark in both scenarios.

怎么理解答案呢?不是很理解数字部分的解释

ciaoyy · 2020年02月12日

会做啦

1 个答案
已采纳答案

韩韩_品职助教 · 2020年02月12日

好的同学,这个知识点在performance evaluation 和 manager selection两个reading当中都有,更全面的可以看performance evaluation部分的讲解。