FRM二级易错题精选:投资组合

A portfolio manager plans to add a new position of USD 100,000 to current portfolio of USD 10 million.

The following information is included in his decision process:

  Portfolio Asset A Asset B
Mean return 20% 25% 25%
Correlation with portfolio 1 0.95 0.4
Volatility 35% 25% 30%
Tracking error 15% 12% 14%

Given a risk-free rate of 5%, which asset should the portfolio manager choose and why?

A. Asset A, since it has a lower Sharpe ratio.

B. Asset A, since it has a higher correlation.

C. Asset B, since it has a higher beta.

D. Asset B, since it has a higher Treynor ratio.

Answer:D

本文FRM考试网小编,将本题翻译为中文内容如下:

投资组合经理计划为目前1000万美元的投资组合增加100,000美元的新头寸。

他的决策过程包含以下信息:

  投资组合 资产A 资产B
平均回报 20% 25% 25%
与投资组合的相关性 1 0.95 0.4
挥发性 35% 25% 30%
跟踪错误 15% 12% 14%

鉴于无风险利率为5%,投资组合经理应选择哪种资产,为什么?

A.资产A,因为它具有较低的夏普比率。

B.资产A,因为它具有更高的相关性。

C.资产B,因为它具有更高的测试版。

D.资产B,因为它具有更高的特雷诺比率。

答案:D

分析详解上述图片。

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