为什么选项A不对

NO.PZ2019012201000034

问题如下：

The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?

选项：

Investment policy allows short positions.

Limited diversification opportunities.

Investment policy restricts maximum position sizes.

解释：

C is correct.

考点： Determining the Appropriate Level of Risk

解析：如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。

为什么选项A不对，麻烦解释一下，x x

添加评论

1 个答案

笛子_品职助教 · 2025年01月08日

嗨，从没放弃的小努力你好：

为什么选项A不对，麻烦解释一下，x x

Hello，亲爱的同学~

看题目的问题，Which of the following is considered as a constraint?

注意constraint这个单词，限制，也就是哪个因素会限制基金经理的业绩。

正确的说法是，限制做空，会影响TC，会对基金经理业绩造成负面影响。

但是A的说法是，允许做空，会对基金经理业绩造成负面影响，这就说反了。允许做空，会提高TC，进而提高IR，允许做空是有利因素，不是限制（constraint）因素。

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

添加评论

1
回答
0
关注
4
浏览

我要回答关注问题

相关问题

NO.PZ2019012201000034 问题如下 The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint? A.Investment poliallows short positions. Limiteversification opportunities. C.Investment polirestricts maximum position sizes. C is correct.考点 termining the Appropriate Level of Risk解析如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。老师，看了其他答案有个问题。分散化限制只会影响sr，这里我不理解，分散化限制也会影响tc吧，影响经理把想法转化为实际操作的程度。就比如说基金经理有什么其他想投的，但被限制住了，这不就是让tc也减少了。请问我的理解哪里有问题呢？

2024-12-20 22:11 2 · 回答

NO.PZ2019012201000034问题如下The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint?A.Investment poliallows short positions.Limiteversification opportunities. C.Investment polirestricts maximum position sizes.C is correct.考点 termining the Appropriate Level of Risk解析如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。可以这样理解吗题目关注的点是information ratio所以选implementation constraints C；如果题目关注的点是sharpe ratio就会需要选择versification opportunities B？谢谢老师！

2024-04-08 20:12 1 · 回答

2024-04-06 04:52 1 · 回答

NO.PZ2019012201000034 问题如下 The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint? A.Investment poliallows short positions. Limiteversification opportunities. C.Investment polirestricts maximum position sizes. C is correct.考点 termining the Appropriate Level of Risk解析如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。如果是根据排除法（能不能看看这个思路对不对）讲义: Portfolios with high absolute risk targets falimiteversification opportunities whimleto a crease in the SR.- B排除IR=active return/active risk=IC*TC*sqrt(BR), restriction on position size- TC can't increase- IR can't increase (no change), not a constraint to keep IR unchange C排除

2024-03-17 00:35 1 · 回答