时间:2018-03-30 16:47 作者:FRM 来源:FRM
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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