这是神马考点呢？

问题如下：

Carnoustie Capital Management, Ltd. (CCM), a UK- based global investment advisory firm, is considering adding an emerging market currency product to its offerings. CCM has for the past three years managed a “model” portfolio of emerging market currencies using the same investment approach as its developed economy currency products. The risk and return measures of the “model” portfolio compare favorably with the one- and three-year emerging market benchmark performance net of CCM’s customary advisory fee and estimated trading costs. Mindful of the higher volatility of emerging market currencies, CCM management is particularly pleased with the “model” portfolio’s standard deviation, Sharpe ratio, and value at risk (VAR) in comparison to those of its developed economy products.

Recognizing that market conditions have been stable since the “model” portfolio’s inception, CCM management is sensitive to the consequences of extreme market events for emerging market risk and return.

Evaluate the application of emerging market and developed market investment return probability distributions for CCM’s potential new product.

解释：

Emerging market currency trades are subject to relatively frequent extreme events and market stresses. Thus, return probability distributions for emerging market investments exhibit fatter tails than the normal distributions that are customarily used to evaluate developed market investment performance. Additionally, emerging market return probability distributions also have a pronounced negative skew when compared with developed market (normal) distributions.

Given these differences, risk management and control tools (such as VAR) that depend on normal distributions can be misleading under extreme market conditions and greatly understate the risks to which the portfolio is exposed. Likewise, many investment performance measures used to evaluate performance are also based on the normal distribution. As a result, historical performance evaluated by such measures as the Sharpe ratio can look very attractive when market conditions are stable, but this apparent outperformance can disappear into deep losses faster than most investors can react.

Short-term stability in emerging markets can give investors a false sense of overconfidence and thereby encourage over-positioning based on the illusion of normally distributed returns. Thus, CCM should not assume a normal distribution for its “model” emerging market portfolio. CCM should assume a fatter-tailed, negatively skewed return probability distribution better reflecting the risk exposure to extreme events.

中文解析：

新兴市场外汇交易受到相对频繁的极端事件和市场压力的影响。因此，新兴市场投资的回报概率分布比通常用于评估发达市场投资表现的正态分布表现出更大的尾部。此外，与发达市场(正态分布)相比，新兴市场的回报概率分布也有明显的负偏态。

鉴于这些差异，在极端市场条件下，依赖于正态分布的风险管理和控制工具(如VAR)可能会产生误导，并大大低估了投资组合所面临的风险。同样，许多用于评估业绩的投资业绩指标也是基于正态分布的。因此，当市场状况稳定时，用夏普比率(Sharpe ratio)等指标评估的历史业绩可能看起来非常有吸引力，但这种明显的出色表现可能会以比大多数投资者反应得更快的速度消失在严重亏损中。

新兴市场的短期稳定可能会给投资者一种过度自信的错觉，从而鼓励基于正态分布回报错觉的过度配置。因此，CCM不应假定其新兴市场投资组合的“模型”为正态分布。CCM应该假设一个更大的、负偏态的回报概率分布，更好地反映极端事件的风险暴露。