"Alternative Investments":The Sharpe ratio

来源: 正保会计网校编辑：小鞠橘桔 2020/10/21 11:34:12　字体：大小

学习是一个不断积累的过程，每天学习一点，每天进步一点！为了帮助大家更高效地备考2021年CFA考试，正保会计网校每日为大家上新CFA习题供大家练习。让网校与您一起高效备考2021年CFA考试，梦想成真！

Questions 1:

In commodity futures market pricing, when the convenience yield is higher than the cost of carry, the roll yield is positive for:

A 、long futures.

B 、short futures.

C 、both long and short futures.

Questions 2:

A measure that is most likely well suited to analyzing the performance of alternative investments that may exhibit negative skewness in returns is the:

A 、Sortino ratio.

B、 Sharpe ratio.

C、 safety-first measure.

View answer resolution

【Answer to question 1】A

【analysis】

A is correct. The futures market is in backwardation when the convenience yield is higher than the cost of carry. The futures price then generally rolls up (moves up along the forward curve) to the spot price curve as the expiry date of the futures contract approaches, which results in a positive roll yield for the long positions.

B is incorrect because when the futures market is in backwardation, the roll yield for the short futures is negative.

C is incorrect because when the futures market is in backwardation, the roll yield for the short futures is negative, not positive.

【Answer to question 2】A

【analysis】

A is correct. The Sharpe ratio and the safety-first measure use standard deviation as the measure of risk, which ignores the negative skewness in returns. The Sortino ratio uses the downside deviation as the measure of risk, which will reflect negative skewness if present.

B is incorrect because the Sharpe ratio does not reflect negative skewness if present.

C is incorrect because the safety-first measure does not reflect negative skewness if present.

成功=时间+方法，自制力是这个等式的保障。世上无天才，高手都是来自刻苦的练习。而人们经常只看到“牛人”闪耀的成绩，其成绩背后无比寂寞的勤奋。小编相信，每天都在勤奋练习，即使是一点点的进步，大家一定可以成为人人称赞的“牛人”。更多CFA考试资讯，点击了解>

上一篇："Alternative Investments":Venture capita...

下一篇："Alternative Investments":Private equity...