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.
老师好，第四列第一行的英文是什么意思呢？这题用不上吧？
