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次第花开 · 2020年08月14日

问一道题:NO.PZ2020020202000019

问题如下:

The upside capture is 0.66 and the downside capture is 0.50, the capture ratios of the portfolio indicate:

选项:

A.

a concave return profile.

B.

positive asymmetry of returns.

C.

that the portfolio generates higher returns than the benchmark during all market conditions.

解释:

B is correct.

The upside/downside capture, or simply the capture ratio (CR), is the upside capture ratio divided by the downside capture ratio.
(Upside capture)/(Downside capture) = 0.66/0.50 = 1.32.
A capture ratio greater than 1 indicates positive asymmetry of returns, or a convex return profile.

B选项的非对称是怎么看出呢?请问下老师

1 个答案
已采纳答案

吴昊_品职助教 · 2020年08月14日

同学你好:

现在已知(Upside capture)/(Downside capture) = 0.66/0.50 = 1.32>1,代表涨的更快,跌的更慢,上涨比下跌表现更好,所以右偏,convex。反之,当UC/DC小于1,左偏,concave。这个结论非常重要,参考基础班讲义P188页。