"Alternative Investments":The Sharpe ratio
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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.
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.
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.
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