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