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Janet1106 · 2020年05月09日

问一道题：NO.PZ2017092702000155

  1. CFA I
  2. Quantitative

问题如下：



–38.49%
–0.73%
0.00%
9.54%
11.39%
12.78%
13.41%
19.42%
23.45%
29.60%


Complete the missing entries in the table below to answer this question.









MAD

11.78%


An analyst does a performance measurement to compare the risk of a contemporaneous sample portfolio with that of the S&P 500 by determining the ranges and mean absolute deviations (MAD) of the two investments. The comparison shows that the S&P 500 appears riskier in terms of the:

选项：

A.

range only

B.

MAD only.

C.

MAD and range.

解释：

C is correct. Both the range and MAD of the S&P 500 are greater than the range and MAD of the sample portfolio. Thus both measures indicate the S&P 500 is riskier. The range for the S&P 500 equals the distance between the lowest and highest
values in the dataset. That distance for the S&P 500 is [29.60% – (–38.49%)] = 68.09%. Given that this range is larger than the range of the sample portfolio at 67.09%, the S&P 500 appears riskier than the sample portfolio. The MAD for the S&P 500 returns equals the sum of the absolute deviations from the mean return divided by the number of observations.

MADS&P500 = 12.67%

Given that the MAD for the S&P 500 is greater than the MAD for the sample portfolio (12.67% versus 11.78%), the S&P 500 appears riskier than the sample portfolio.
A is incorrect because although the S&P 500 is correctly identified as having the larger range, the sample portfolio has a smaller MAD.
B is incorrect because although the S&P 500 is correctly identified as having the larger MAD, the Sample Portfolio has a smaller range.

老师您好，请问一下MAD是怎么计算的，The MAD for the S&P 500 returns equals the sum of the absolute deviations from the mean return divided by the number of observations. 能帮忙列一下公式看一下吗，谢谢！

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2 个答案

星星_品职助教 · 2021年01月03日

@sarahjia 用每个数减去X bar后的绝对值加总，然后除以n

星星_品职助教 · 2020年05月09日

同学你好，

MAD=（Σ|Xi- X bar|） /n，X bar即为X的均值，可以通过计算器算出。

这个公式上课是讲过的，可以复习一下对应的视频，在measures of dispersion那个考点，方差前面。正是因为MAD有缺陷，才引入了方差。

sarahjia · 2021年01月03日

老师你好，是把每个数值-x bar的数sum起来后再除以n吗，我是这么算的但是最后的数不太对

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NO.PZ2017092702000155 第一张竖表只给了9年的值，表头说有10年。数据没少给的话是要用第二张表的均值算剩下的一年吗？

2021-07-16 22:45 1 · 回答

NO.PZ2017092702000155 Monly. Manrange. C is correct. Both the range anMof the S&P 500 are greater ththe range anMof the sample portfolio. Thus both measures incate the S&P 500 is riskier. The range for the S&P 500 equals the stanbetween the lowest anhighest values in the taset. Thstanfor the S&P 500 is [29.60% – (–38.49%)] = 68.09%. Given ththis range is larger ththe range of the sample portfolio 67.09%, the S&P 500 appears riskier ththe sample portfolio. The Mfor the S&P 500 returns equals the sum of the absolute viations from the mereturn vithe number of observations. MA&P500 = 12.67% Given ththe Mfor the S&P 500 is greater ththe Mfor the sample portfolio (12.67% versus 11.78%), the S&P 500 appears riskier ththe sample portfolio. A is incorrebecause although the S&P 500 is correctly intifiehaving the larger range, the sample portfolio ha smaller MA B is incorrebecause although the S&P 500 is correctly intifiehaving the larger MA the Sample Portfolio ha smaller range. 看不到图表呢，怎么解决这个问题

2021-05-03 12:19 1 · 回答

NO.PZ2017092702000155 Monly. Manrange. C is correct. Both the range anMof the S&P 500 are greater ththe range anMof the sample portfolio. Thus both measures incate the S&P 500 is riskier. The range for the S&P 500 equals the stanbetween the lowest anhighest values in the taset. Thstanfor the S&P 500 is [29.60% – (–38.49%)] = 68.09%. Given ththis range is larger ththe range of the sample portfolio 67.09%, the S&P 500 appears riskier ththe sample portfolio. The Mfor the S&P 500 returns equals the sum of the absolute viations from the mereturn vithe number of observations. MA&P500 = 12.67% Given ththe Mfor the S&P 500 is greater ththe Mfor the sample portfolio (12.67% versus 11.78%), the S&P 500 appears riskier ththe sample portfolio. A is incorrebecause although the S&P 500 is correctly intifiehaving the larger range, the sample portfolio ha smaller MA B is incorrebecause although the S&P 500 is correctly intifiehaving the larger MA the Sample Portfolio ha smaller range. 这个题目没看懂考察的哪个知识点能指导下没？

2021-04-28 22:48 1 · 回答

NO.PZ2017092702000155 您好，这题我想问一下关于MA不可以因为S&P500的mean比较小，相当于每个值减去的数就少了，得出的MA会大一些，所以也是risky，这样思考来省去计算的步骤对吗？谢谢。

2021-04-20 13:36 2 · 回答

NO.PZ2017092702000155 Monly. Manrange. C is correct. Both the range anMof the S&P 500 are greater ththe range anMof the sample portfolio. Thus both measures incate the S&P 500 is riskier. The range for the S&P 500 equals the stanbetween the lowest anhighest values in the taset. Thstanfor the S&P 500 is [29.60% – (–38.49%)] = 68.09%. Given ththis range is larger ththe range of the sample portfolio 67.09%, the S&P 500 appears riskier ththe sample portfolio. The Mfor the S&P 500 returns equals the sum of the absolute viations from the mereturn vithe number of observations. MA&P500 = 12.67% Given ththe Mfor the S&P 500 is greater ththe Mfor the sample portfolio (12.67% versus 11.78%), the S&P 500 appears riskier ththe sample portfolio. A is incorrebecause although the S&P 500 is correctly intifiehaving the larger range, the sample portfolio ha smaller MA B is incorrebecause although the S&P 500 is correctly intifiehaving the larger MA the Sample Portfolio ha smaller range. 题目不显示图片，截图在提问时也无法添加上传

2021-04-05 20:15 2 · 回答