题目
An analyst wanting to assess the downside risk of an alternative investment is least likely to use the investment’s:
选项
A.Sortino ratio.
B.value at risk (VaR).
C.standard deviation of returns.
答案
C
解析
C is correct. Downside risk measures focus on the left side of the return distribution curve, where losses occur. The standard deviation of returns assumes that returns are normally distributed. Many alternative investments do not exhibit close-to-normal distributions of returns, which is a crucial assumption for the validity of a standard deviation as a comprehensive risk measure. Assuming normal probability distributions when calculating these measures will lead to an underestimation of downside risk for a negatively skewed distribution. Both the Sortino ratio and the VaR measure are measures of downside risk.：C是正确的。下行风险指标集中在收益分布曲线的左侧，即损失发生的地方。收益的标准差假设收益为正态分布。许多另类投资没有表现出接近正态分布的回报，这是标准差作为综合风险度量有效性的关键假设。在计算这些度量时，假设正态概率分布将导致低估负偏分布的下行风险。索提诺比率和VaR指标都是下行风险的指标。