nzh · 2018年12月29日
问题如下图：
选项：
A. 
B. 
C. 
解释：
IR can be indeterminate because the active risk is so low. 也就是说active risk 很低的时候就无法判断IR。 无法判断IR不就无法判断是不是closet index fund。
conclusion 3正确。说的不就是active risk 很低吗？那就无法往后推了，为什么还能判断profolio c就是closet index fund 正确？
conclusion 1错误。说IR很小就是错的，原因是不接近于0？
NO.PZ2018091701000044 问题如下 The benchmark portfolio is the Hang Sheng Inx.analyst make conclusion:Conclusion one: Portfolio C is closet inx funbecause its information ratio is very small.Conclusion two: portfolio C is closet inx funbecause its Sharpe ratio is close to the benchmark.Conclusion three: portfolio C is closet inx funbecause its active risk is the lowWhiconclusion is least likely correct? A.Conclusion two. B.Conclusion one. C.Conclusion three. B is correct.考点 closet inx fun特点，以及夏普比率和IR之间的辨析 。解析 closet inx fun特点是宣称自己是主动管理的，但实际的表现接近于指数基金，所以可以把它看作是追踪指数的基金 ，因此追踪误差比较低，也就是说主动风险低，Conclusion three正确。这样的基金与指数的收益率和标准差也很接近，所以夏普比率与基准接近，Conclusion two正确。由于IR= active return /active risk，closet inx funactive return 和active risk都是很小的数，尤其是分母，有细微的差别就对计算结果影响很大，所以IR结果如何是不确定的。因此结论1是错误的 。注意讲义和原版书上是有这样一句话，说closet inx funIR有可能接近0或者是负值。但请注意后面还有一句话“Meanwhile, information ratio cinterminate because the active risk is so low.\" 我的理解是SR不受杠杆影响，那组合C的SR即使与inx一样，C的配置比例也可以是千变万化的，不也是不能推出其是closet inx fun？
NO.PZ2018091701000044问题如下The benchmark portfolio is the Hang Sheng Inx.analyst make conclusion:Conclusion one: Portfolio C is closet inx funbecause its information ratio is very small.Conclusion two: portfolio C is closet inx funbecause its Sharpe ratio is close to the benchmark.Conclusion three: portfolio C is closet inx funbecause its active risk is the lowWhiconclusion is least likely correct?A.Conclusion two.B.Conclusion one.C.Conclusion three.B is correct.考点 closet inx fun特点，以及夏普比率和IR之间的辨析 。解析 closet inx fun特点是宣称自己是主动管理的，但实际的表现接近于指数基金，所以可以把它看作是追踪指数的基金 ，因此追踪误差比较低，也就是说主动风险低，Conclusion three正确。这样的基金与指数的收益率和标准差也很接近，所以夏普比率与基准接近，Conclusion two正确。由于IR= active return /active risk，closet inx funactive return 和active risk都是很小的数，尤其是分母，有细微的差别就对计算结果影响很大，所以IR结果如何是不确定的。因此结论1是错误的 。注意讲义和原版书上是有这样一句话，说closet inx funIR有可能接近0或者是负值。但请注意后面还有一句话“Meanwhile, information ratio cinterminate because the active risk is so low.\"如题已写问题 请教老师
NO.PZ2018091701000044 问题如下 The benchmark portfolio is the Hang Sheng Inx.analyst make conclusion:Conclusion one: Portfolio C is closet inx funbecause its information ratio is very small.Conclusion two: portfolio C is closet inx funbecause its Sharpe ratio is close to the benchmark.Conclusion three: portfolio C is closet inx funbecause its active risk is the lowWhiconclusion is least likely correct? A.Conclusion two. B.Conclusion one. C.Conclusion three. B is correct.考点 closet inx fun特点，以及夏普比率和IR之间的辨析 。解析 closet inx fun特点是宣称自己是主动管理的，但实际的表现接近于指数基金，所以可以把它看作是追踪指数的基金 ，因此追踪误差比较低，也就是说主动风险低，Conclusion three正确。这样的基金与指数的收益率和标准差也很接近，所以夏普比率与基准接近，Conclusion two正确。由于IR= active return /active risk，closet inx funactive return 和active risk都是很小的数，尤其是分母，有细微的差别就对计算结果影响很大，所以IR结果如何是不确定的。因此结论1是错误的 。注意讲义和原版书上是有这样一句话，说closet inx funIR有可能接近0或者是负值。但请注意后面还有一句话“Meanwhile, information ratio cinterminate because the active risk is so low.\" Meanwhile, information ratio cinterminate because the active risk is so low
NO.PZ2018091701000044 问题如下 The benchmark portfolio is the Hang Sheng Inx.analyst make conclusion:Conclusion one: Portfolio C is closet inx funbecause its information ratio is very small.Conclusion two: portfolio C is closet inx funbecause its Sharpe ratio is close to the benchmark.Conclusion three: portfolio C is closet inx funbecause its active risk is the lowWhiconclusion is least likely correct? A.Conclusion two. B.Conclusion one. C.Conclusion three. B is correct.考点 closet inx fun特点，以及夏普比率和IR之间的辨析 。解析 closet inx fun特点是宣称自己是主动管理的，但实际的表现接近于指数基金，所以可以把它看作是追踪指数的基金 ，因此追踪误差比较低，也就是说主动风险低，Conclusion three正确。这样的基金与指数的收益率和标准差也很接近，所以夏普比率与基准接近，Conclusion two正确。由于IR= active return /active risk，closet inx funactive return 和active risk都是很小的数，尤其是分母，有细微的差别就对计算结果影响很大，所以IR结果如何是不确定的。因此结论1是错误的 。注意讲义和原版书上是有这样一句话，说closet inx funIR有可能接近0或者是负值。但请注意后面还有一句话“Meanwhile, information ratio cinterminate because the active risk is so low.\" 解析说的是conclusion three是错的，答案却选了A，应该选C呀？？
NO.PZ2018091701000044 老师好 是不是closet inx 的特点就是iR 很低 或无法确认 因为分母active risk =0. 与sharp ratio 无关是吗？ 谢谢
