NO.PZ2019012201000074
问题如下：
Ap learns that
Chiyodasenko has initiated a new equity fund. It is similar to Fund 1 but
scales up active risk by doubling all of the active weights relative to Fund 1.
The new fund aims to scale active return linearly with active risk, but
implementation is problematic. Because of the cost and difficulty of borrowing
some securities, the new fund cannot scale up its short positions to the same
extent that it can scale up its long positions.
Relative to Fund
1, Chiyodasenko’s new equity fund will most likely exhibit a lower:
选项：
A.information ratio
idiosyncratic risk
collateral requirement
解释：
As the new fund
scales up active risk by doubling active weights, it will face implementation
constraints that will prevent it from increasing the weights of many of its
short positions. The information ratio (IR) is defined as the ratio of active
return to active risk. If there were no constraints preventing the new fund
from scaling up active weights, it could scale up active risk by scaling up
active weights, proportionally increase active return, and keep the IR
unchanged. Implementation constraints experienced by the new fund, however,
such as the cost and difficulty in borrowing securities to support the
scaled-up short positions, will prevent the active return from proportionally
increasing with the active risk. Therefore, the IR would most likely be lower
for the new fund than for Fund 1. As the following chart illustrates, as active
risk is scaled up, implementation constraints create diminishing returns to
scale for active returns, thereby degrading the IR.
老师可以帮忙复习一下二级的IR和TC吗。。IR是看active risk带来了多少active return的ratio，TC是有constraints的时候就降低了TC（fund manager自由发挥度降低），BR是看fund manager是不是努力，是这样吗？
