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.
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]
thx
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