标准差和贝塔系数作为风险指示指标，养老金和高净值富人有区别么？（NBS的投资学考试
大致意思是，度量一项资产的风险指标，存在给定标准差和贝塔数据，对于试图构造FOF多元化组合的养老金管理者而言，其选择标准是看重贝塔还是标准差？对于一个已经持有标准普尔指数现货资产的高净值富人，其投资标准又是看重标准差还是贝塔呢？
原题：There are 3 types of active fund managers. Type A manager delivers an average return of 15%, a standard deviation of 25%, and a Jensen’s alpha of 2.4%. Type B manager delivers an average return of 22%, standard deviation of 30%, and beta of 1.5. Type C manager delivers an average return of 17% and a standard deviation of 20%; You also know that the returns that type C manager generates have a correlation coefficient of 0.9 with the market index – S&P 500.
In addition, the average return and standard deviation of the S&P 500 are 12% and 15% respectively. The return on treasury bill is 6%.
Required
(a) Your client is a big pension fund who wants to adopt a fund of funds operation. It decides to pick only one type of managers out of the 3 types mentioned above so that it can form a well-diversified operation.
What will be your recommendation: should your client pick the type A, or type B, or type C manager? Show your calculation and explain briefly to your client about your recommendation.
(5 marks)
(b) You have another client who is a wealthy individual that holds the S&P 500 index currently. He wants to add one mutual fund into his portfolio, and will consider the 3 managers mentioned above.
What will be your recommendation: should he pick a fund run by the type A, or type B or type C manager? Show your calculation and explain briefly to your client about your recommendation.
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