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aeiou · 2024年07月16日

老师 能讲一下B C选项为什么不对么

NO.PZ2023010903000073

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

B.

idiosyncratic risk

C.

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.


我理解A对


2 个答案
已采纳答案

笛子_品职助教 · 2024年07月17日

嗨,爱思考的PZer你好:


因为我理解的是题目里说the new fund cannot scale up its short positions to the same extent that it can scale up its long positions, 所以他short不多。 所以其实理解的应该还是对比longonly, 他还是增加了short position,所以BC不对。是这样么?

Hello,亲爱的同学~

同学从这个角度来理解也是可以的。

从这个角度,也可以得出,增加active risk后,active return不会随着风险一起增加,以及BC不正确的结论。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

笛子_品职助教 · 2024年07月17日

嗨,爱思考的PZer你好:


本题要选Lower的。

当杠杆增加后,风险也会随之增加,因此不选B。

杠杆增加后,对抵押品的需求也是随着增加的,借款金额越高,抵押品价值也越高。因此不选C。

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加油吧,让我们一起遇见更好的自己!

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