问题如下:
In Fund 3’s latest
quarterly report, Ap reads that Fund 3 implemented a new formal risk control
for its forecasting model that constrains the predicted return distribution so
that no more than 60% of the deviations from the mean are negative.
Which risk measure
does Fund 3’s new risk control explicitly constrain?
选项:
A. Volatility
Skewness
Drawdown
解释:
Skewness measures
the degree to which return expectations are non-normally distributed. If a
distribution is positively skewed, the mean of the distribution is greater than
its median—more than half of the deviations from the mean are negative and less
than half are positive—and the average magnitude of positive deviations is
larger than the average magnitude of negative deviations. Negative skew
indicates that that the mean of the distribution lies below its median, and the
average magnitude of negative deviations is larger than the average magnitude
of positive deviations. Fund 3’s new risk control constrains its model’s
predicted return distribution so that no more than 60% of the deviations from
the mean are negative. This is an explicit constraint on skewness.
drawdown是啥意思呢?