Liu
2020-09-21 15:36why the answer is not B? we learnt sharpe is the portolio retun - risk free rate from book. risk free rate is the general market indice
所屬:FRM Part II > Risk Management and Investment Management 視頻位置 相關(guān)試題
來(lái)源: 視頻位置 相關(guān)試題
1個(gè)回答
Cindy助教
2020-09-23 10:10
該回答已被題主采納
同學(xué)你好,這題讓我們衡量的是active portfolio manager's performance,既然是主動(dòng)管理的業(yè)績(jī),當(dāng)然要和一個(gè)被動(dòng)的基準(zhǔn)進(jìn)行比較,而且這個(gè)基準(zhǔn)的投資風(fēng)格應(yīng)該和主動(dòng)的基金經(jīng)理的投資風(fēng)格是類似的,所以A選項(xiàng)是更加合適的
