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hyi725 · 2022年04月16日

best risk-adjusted performance 这个在哪一个小节 谢谢

NO.PZ2021101401000021

问题如下:

Rom informs Galic that GWP also uses a technique commonly referred to as scenario analysis to examine how strategies perform in different structural regimes. Exhibit 2 compares the performance of two of GWP’s factor allocation strategies in different regimes:


Comparing the two strategies in Exhibit 2, the best risk-adjusted performance is demonstrated by:

选项:

A.

Strategy II in periods of low volatility and recession.

B.

Strategy I in periods of high volatility and non-recession.

C.

Strategy II in periods of high volatility and non-recession.

解释:

A is correct. Using the Sharpe ratio, the best risk-adjusted relative performance can be determined by comparing the sensitivity of the two strategies under differing macroeconomic regimes: recession versus non-recession and high volatility versus low volatility. The best risk-adjusted return will exhibit the highest Sharpe ratio.

Strategy II demonstrates higher risk-adjusted returns compared with Strategy I under all four macroeconomic conditions, particularly in periods of low volatility, when the Sharpe ratio outperformance is 0.96, and recessions, when the Sharpe ratio outperformance is 1.56.


为什么选sharp ratio最大的呢?谢谢

1 个答案

星星_品职助教 · 2022年04月17日

同学你好,

Sharpe ratio就是衡量risk-adjusted performance的,分母除以标准差就相当于同时衡量了风险(risk-adjusted)。

the best risk-adjusted performance指的就是sharpe ratio最大的。

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