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beiweiy · 2024年03月06日

请问如何计算

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NO.PZ2019042401000061

问题如下：

A portfolio manager at a hedge fund manages an equity portfolio that is benchmarked to an index. The information on the performance of the portfolio and the benchmark over the last 5 years is provided below:


What is the approximate value of the manager’s information ratio?

选项：

A.

0.60

B.

0.20

C.

0.90

D.

1.08

解释：


IR = Average excess returns / Std dev of excess returns (IR = Alpha / Tracking error) Average excess returns: 0.0040 Std dev of excess returns: 0.0067 IR = 0.59

A is incorrect. It is found by dividing portfolio returns by benchmark returns and then taking the standard deviation of these ratios.

C is incorrect. It is the average of betas.

D is incorrect. It is found by dividing average portfolio returns by average benchmark returns.

请问0.0067是如何计算出来的？

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已采纳答案

李坏_品职助教 · 2024年03月06日

嗨，从没放弃的小努力你好：


首先求出每一年的excess return(表格中第一列减去第二列)：

Year 1的excess return = portfolio return of return - Benchmark return = 0.072-0.07 = 0.002，

Year 2的excess return = 0.052-0.054 = -0.002,

Year 3的excess return = 0.052-0.047 = 0.005,

Year 4的excess return = 0，

Year5的excess return = 0.015.


这5年的excess return的平均数=0.004.

然后针对这5年的excess return求出标准差：

Std dev of excess returns = 根号下(1/4 * [(0.002-0.004) ^2+ （-0.002-0.004）^2+ (0.005-0.004)^2+(0-0.004)^2+(0.015-0.004)^2]) = 0.0067.

由于这里的数据是样本，所以求的是样本标准差，所以是用1/4而不是1/5.

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NO.PZ2019042401000061问题如下 A portfolio manager a hee funmanages equity portfolio this benchmarketo inx. The information on the performanof the portfolio anthe benchmark over the last 5 years is provibelow:Whis the approximate value of the manager’s information ratio? A.0.60B.0.20C.0.901.08 IR = Average excess returns / Stv of excess returns (IR = Alpha / Tracking error) Average excess returns: 0.0040 Stv of excess returns: 0.0067 IR = 0.59 A is incorrect. It is founving portfolio returns benchmark returns anthen taking the stanrviation of these ratios. C is incorrect. It is the average of betas. is incorrect. It is founving average portfolio returns average benchmark returns. 如题，怎么想到还要判断是样本方差还是总体方差这一步的？？？

2024-03-25 01:50 1 · 回答