陳同學(xué)
2022-10-30 11:30這道題請解釋下
所屬：FRM Part II > Risk Management and Investment Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Michael助教
2022-11-03 17:22
該回答已被題主采納
學(xué)員你好，題目問的是每一個(gè)選項(xiàng)的情況。
A中M2 focuses on total volatility as a measure of risk, but its risk adjustment leads to an easy-to-interpret differential return relative to the benchmark index.這個(gè)說法OK的。指標(biāo)反應(yīng)的就是總風(fēng)險(xiǎn)，但是這個(gè)指標(biāo)大于0就可以說比市場好，所以更加直觀。
B中The return for the perfect timer in each year is the average of the return on stocks and the return on bills. 應(yīng)該是兩者取其高，因?yàn)橥昝赖膭t時(shí)就是神算子，哪一個(gè)表現(xiàn)好就投哪一個(gè)，還很準(zhǔn)。
C中Market timing involves shifting funds between a market-index portfolio and a safe asset, depending on whether the market index is expected to outperform the safe asset.這個(gè)就是擇時(shí)能力的定義啦。
D中Managers can manipulate their performance measures by adjusting their risk-return profile in response to performance in the early part of an evaluation period.這個(gè)說法想說的是一種現(xiàn)象，比如基金經(jīng)理的基準(zhǔn)是中證50這種大盤股，但是為了增加收益，投資了小盤股股票，導(dǎo)致收益增加，但是這種做法其實(shí)是不對的。
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