题目
The Sharpe ratio is a less-than-ideal performance measure for alternative investments because:
选项
A.it uses a semi-deviation measure of volatility.
B.returns of alternative assets are not normally distributed.
C.alternative assets exhibit low correlation with traditional asset classes.
答案
B
解析
B is correct. The Sharpe ratio assumes normally distributed returns. However, alternative assets tend to have non-normal return distributions with significant skewness (fat tails in one direction or the other) and kurtosis (sharper peak than a normal distribution has, with fatter tails). Therefore, the Sharpe ratio may not be a good risk-adjusted performance measure to rely on for alternative investments.A is incorrect because the Sharpe ratio does not use a semi-deviation measure of volatility; it uses standard deviation. The Sortino ratio uses a semi-deviation measure of volatility. Further, the use of semi-deviation instead of standard deviation actually makes the Sortino ratio a more attractive measure of alternative asset performance than the Sharpe ratio. C is incorrect because correlation does not enter into the calculation of the Sharpe ratio. However, it is true that alternative assets can have low correlations with other asset classes. In contrast to the Sharpe ratio, the Treynor ratio incorporates the beta of the alternative asset relative to a benchmark, which is conceptually similar to correlation.：B是正确的。夏普比率假设收益为正态分布。然而，替代资产往往具有非正态收益分布，具有显著的偏度（一个方向或另一个方向的厚尾）和峰度（尖峰比正态分布更尖锐，尾巴更厚）。因此，夏普比率可能不是替代投资所依赖的经风险调整的良好业绩指标。A是不正确的，因为夏普比率没有使用波动性的半偏差度量；它使用标准差。索蒂诺比率使用波动性的半偏差度量。此外，使用半偏差代替标准偏差实际上使索蒂诺比率成为比夏普比率更具吸引力的替代资产绩效衡量指标。C是不正确的，因为相关性没有进入夏普比率的计算。然而，替代资产与其他资产类别的相关性很低，这是事实。与夏普比率不同，特雷诺比率包含了替代资产相对于基准的贝塔系数，这在概念上类似于相关性。