2008 CFA Level 1 － Sample 样题(2)－Q16 class, black, style

bingning

16、An analyst gathered the following information about the performance of four categories of mutual funds over the same time period:

Mutual Fund Category	Standard Deviation	Sharpe Ratio
1	18.9%	0.23
2	15.4%	0.35
3	14.3%	0.29
4	12.8%	0.27

If the returns from all funds were normally distributed, the mutual fund category that minimized the probability of earning less than the risk-free rate of return is most likely category:

A. 1.

B. 2.

C. 3.

D. 4.

  
Correct answer = B

"Common Probability Distributions," Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 397-400
Study Session 3-9-i
define shortfall risk, calculate the safety-first ratio, and select an optimal portfolio using Roy's safety-first criterion
The Sharpe ratio is equivalent to using the risk-free rate as the shortfall level in Roy's safety-first criterion. The higher the safety-first ratio, the lower is the probability of earning less than the risk-free rate. 

bingning

16、An analyst gathered the following information about the performance of four categories of mutual funds over the same time period:

Mutual Fund Category	Standard Deviation	Sharpe Ratio
1	18.9%	0.23
2	15.4%	0.35
3	14.3%	0.29
4	12.8%	0.27

If the returns from all funds were normally distributed, the mutual fund category that minimized the probability of earning less than the risk-free rate of return is most likely category:

A. 1.

B. 2.

C. 3.

D. 4.

[此贴子已经被作者于2008-11-7 13:48:04编辑过]

fatiger

k

刀剑如梦

非常感谢！

isaisaisa

a

robinlu

B

oleander

b

leeh

up

tannyyu

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vivivin

re