这一题对应的基础班知识点在哪里？

问题如下：

Gertrude Fischer mentions two properties of the Sharpe ratio and the information ratio that she says are very useful.

Property 1: The Sharpe ratio is unaffected by the addition of cash or leverage in a portfolio.

Property 2: The information ratio for an unconstrained portfolio is unaffected by the aggressiveness of the active weights.

Are Fischer’s two properties correct?

选项：

A.

Yes.

B.

No. Only Property 1 is correct.

C.

No. Only Property 2 is correct.

解释：

A is correct.

Both properties are correct. For Property 1, if $\;w_P$ is the weight of an actively managed portfolio and (1 – $\;w_P$) is the weight on risk-free cash, changing $\;w_P$ does not change the Sharpe ratio, as can be seen in this equation.  

{$table1}

For Property 2, the information ratio of an unconstrained portfolio is unaffected by multiplying the active security weights, $\Delta w_i$ by a constant.

考点：Sharpe ratio & information ratio

解析：两个结论：1. Sharpe ratio不受现金份额以及杠杆变化的影响。即，无论基金经理是更多投资无风险组合、更少投资基金，还是通过杠杆以无风险利率举债的方式来更多投资基金、更少投资无风险组合，该投资基金的夏普比率始终不会发生变化。

2.对于没有限制的投资基金，信息比率不会受到基金超额权重激进程度的影响。