NO.PZ2019122802000024
问题如下：
Kloss Investments is an investment adviser whose clients are small institutional investors. Muskogh Charitable Foundation (the
“Foundation”) is a client with $70 million of assets under management.
The Foundation has a traditional asset allocation of 65% stocks/35%
bonds. Risk and return characteristics for the Foundation’s current
portfolio are presented in Panel A of Exhibit 1.
Kloss’ CIO,
Christine Singh, recommends to Muskogh’s investment committee that it
should add a 10% allocation to hedge funds. The investment committee
indicates to Singh that Muskogh’s primary considerations for the
Foundation’s portfolio are that any hedge fund strategy allocation
should: a) limit volatility, b) maximize risk-adjusted returns, and c)
limit downside risk.
Singh’s associate prepares expected risk and
return characteristics for three portfolios that have allocations of 60%
stocks, 30% bonds, and 10% hedge funds, where the 10% hedge fund
allocation follows either an equity market-neutral, global macro, or
convertible arbitrage strategy. The risk and return characteristics of
the three portfolios are presented in Panel B of Exhibit 1.
Discuss which hedge fund strategy Singh should view as most suitable for meeting the considerations expressed by Muskogh’s investment committee.
解释：
Based on the investment committee’s considerations, Singh should view a 10% allocation to the global macro hedge fund strategy as most suitable for the Foundation. Such an allocation would result in a decrease in standard deviation (volatility) and significant increases in the combined portfolio’s Sharpe and Sortino ratios (these are the highest such ratios among the strategies presented). In addition, the lower maximum drawdown (15.0%) indicates less downside risk in the combined portfolio than with any of the other strategy choices.
这道题主要是根据题干中提供的信息来判断：
你看题目中说any hedge fund strategy allocation should: a) limit volatility, b) maximize risk-adjusted returns, and c) limit downside risk.
那你就看这3个hedge fund 里面哪个能够满足这个要求：
首先limit volatility，那就是比较标准差，standardvation 即SD，你看三个基金里面全球宏观的SD是最小的；
其次 maximize risk-adjusted returns，在表格提供的指标里面，sharp ratio 和 sortino ratio 都是衡量 risk-adjusted returns，这个指标越大肯定就越好，三个基金里面，全球宏观的是最大的
最后就是limit downside risk，衡量这个的指标是maxmium drawdown，这个指标越小越好，三个基金里面全球宏观是最小的
所以选择全球宏观。这个题目一方面要看懂题目的意思，另一方面要知道表格里面给出这个指标衡量的是什么意思。知道了这两点就好判断了。
为什么这里不是用limited downside risk去判断sortino ratio大啊。
