问题如下图:
选项:
A.
B.
C.
解释:
请问为什么active risk是上升的?
combined组合后的risk=0.6*单买一个fund的risk
那分母combined 组合后的active risk应该是降低的啊?
NO.PZ2018091701000046 问题如下 A client hthe information ratio of 0.6 e to 60% allocation to actively managefunan40% to the inx fun Now he cis to allocate 100% position in the active fun Whiof the following statement is most likely correct? A.The information ratio will increase because the active return increases. B.The information ratio will unchangebecause both the active return anactive risk increase. C.The information ratio will crease because the active risk increases. B is correct.考点IR的推论。解析IR is unaffectethe aggressiveness of active weight。投资激进,虽然分母active return增加,但是分子active risk也增加,所以 最终结果不变。 请问增加active的权重怎么会是 aggressiveness of active weight的提升呢?不应该是增加了active的cash么?
麻烦给一下这题的完整解题,调整后的IR。谢谢