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占个座儿 · 2020年03月15日

问一道题:NO.PZ2019093001000010 [ CFA III ]

问题如下:

A manager whose relative performance is worse during market downturns most likely has a capture ratio that is:

选项:

A.

less than one

B.

equal to one

C.

greater than one

解释:

A is correct.

A capture ratio less than one indicates the downside capture is greater than upside capture and reflects greater participation in falling markets than in rising markets.

在downside情况下,不是dc大于1说明portfolio performance更worse吗?
1 个答案

星星_品职助教 · 2020年03月16日

同学你好,

本题问的是capture ratio(CR),并非DC。题干描述的是CR<1的场景

DZ杰 · 2022年07月10日

为啥题干描述的是CR<1的场景,不是DC>1?