问一道题：NO.PZ2019012201000074 [ CFA III ]

NO.PZ2019012201000074 问题如下 learns thatChiyosenko hinitiatea new equity fun It is similto Fun1 butscales up active risk ubling all of the active weights relative to Fun1.The new funaims to scale active return linearly with active risk, butimplementation is problematiBecause of the cost anfficulty of borrowingsome securities, the new funcannot scale up its short positions to the sameextent thit cscale up its long positions.Relative to Fun, Chiyosenko’s new equity funwill most likely exhibit a lower: A.information ratio B.iosyncratic risk C.collaterrequirement the new funcales up active risk ubling active weights, it will faimplementationconstraints thwill prevent it from increasing the weights of many of itsshort positions. The information ratio (IR) is finethe ratio of activereturn to active risk. If there were no constraints preventing the new funrom scaling up active weights, it coulscale up active risk scaling upactive weights, proportionally increase active return, ankeep the IRunchange Implementation constraints experiencethe new fun however,suthe cost anfficulty in borrowing securities to support thescaleup short positions, will prevent the active return from proportionallyincreasing with the active risk. Therefore, the IR woulmost likely lowerfor the new funthfor Fun1. the following chart illustrates, activerisk is scaleup, implementation constraints create minishing returns toscale for active returns, theregrang the IR. 知识框架图85页limitations of returns achievebearing risk下面有三点implementation constrains属于IR 相对风险limiteversification opportunities leverage beyonvolatility reces expectereturns我记得李老师在基础班说2和3是和sharpe ratio绝对风险有关的。如果上述正确，那么题目会不会让区别是IR还是sharpe ratio？谢谢

NO.PZ2019012201000074 问题如下 learns thatChiyosenko hinitiatea new equity fun It is similto Fun1 butscales up active risk ubling all of the active weights relative to Fun1.The new funaims to scale active return linearly with active risk, butimplementation is problematiBecause of the cost anfficulty of borrowingsome securities, the new funcannot scale up its short positions to the sameextent thit cscale up its long positions.Relative to Fun, Chiyosenko’s new equity funwill most likely exhibit a lower: A.information ratio B.iosyncratic risk C.collaterrequirement the new funcales up active risk ubling active weights, it will faimplementationconstraints thwill prevent it from increasing the weights of many of itsshort positions. The information ratio (IR) is finethe ratio of activereturn to active risk. If there were no constraints preventing the new funrom scaling up active weights, it coulscale up active risk scaling upactive weights, proportionally increase active return, ankeep the IRunchange Implementation constraints experiencethe new fun however,suthe cost anfficulty in borrowing securities to support thescaleup short positions, will prevent the active return from proportionallyincreasing with the active risk. Therefore, the IR woulmost likely lowerfor the new funthfor Fun1. the following chart illustrates, activerisk is scaleup, implementation constraints create minishing returns toscale for active returns, theregrang the IR. 老师可以帮忙复习一下二级的IR和TC吗。。IR是看active risk带来了多少active return的ratio，TC是有constraints的时候就降低了TC（funmanager自由发挥度降低），BR是看funmanager是不是努力，是这样吗？

NO.PZ2019012201000074 问题如下 learns thatChiyosenko hinitiatea new equity fun It is similto Fun1 butscales up active risk ubling all of the active weights relative to Fun1.The new funaims to scale active return linearly with active risk, butimplementation is problematiBecause of the cost anfficulty of borrowingsome securities, the new funcannot scale up its short positions to the sameextent thit cscale up its long positions.Relative to Fun, Chiyosenko’s new equity funwill most likely exhibit a lower: A.information ratio B.iosyncratic risk C.collaterrequirement the new funcales up active risk ubling active weights, it will faimplementationconstraints thwill prevent it from increasing the weights of many of itsshort positions. The information ratio (IR) is finethe ratio of activereturn to active risk. If there were no constraints preventing the new funrom scaling up active weights, it coulscale up active risk scaling upactive weights, proportionally increase active return, ankeep the IRunchange Implementation constraints experiencethe new fun however,suthe cost anfficulty in borrowing securities to support thescaleup short positions, will prevent the active return from proportionallyincreasing with the active risk. Therefore, the IR woulmost likely lowerfor the new funthfor Fun1. the following chart illustrates, activerisk is scaleup, implementation constraints create minishing returns toscale for active returns, theregrang the IR. No.PZ2019012201000074 (选择题)请问如果本题同时给了information ratio和transaction ratio，应该如何选择？

NO.PZ2019012201000074问题如下learns thatChiyosenko hinitiatea new equity fun It is similto Fun1 butscales up active risk ubling all of the active weights relative to Fun1.The new funaims to scale active return linearly with active risk, butimplementation is problematiBecause of the cost anfficulty of borrowingsome securities, the new funcannot scale up its short positions to the sameextent thit cscale up its long positions.Relative to Fun, Chiyosenko’s new equity funwill most likely exhibit a lower:A.information ratio B.iosyncratic risk C.collaterrequirement the new funcales up active risk ubling active weights, it will faimplementationconstraints thwill prevent it from increasing the weights of many of itsshort positions. The information ratio (IR) is finethe ratio of activereturn to active risk. If there were no constraints preventing the new funrom scaling up active weights, it coulscale up active risk scaling upactive weights, proportionally increase active return, ankeep the IRunchange Implementation constraints experiencethe new fun however,suthe cost anfficulty in borrowing securities to support thescaleup short positions, will prevent the active return from proportionallyincreasing with the active risk. Therefore, the IR woulmost likely lowerfor the new funthfor Fun1. the following chart illustrates, activerisk is scaleup, implementation constraints create minishing returns toscale for active returns, theregrang the IR.short受限，那对保证金要求低，为什么C不对

NO.PZ2019012201000074 问题如下 learns thatChiyosenko hinitiatea new equity fun It is similto Fun1 butscales up active risk ubling all of the active weights relative to Fun1.The new funaims to scale active return linearly with active risk, butimplementation is problematiBecause of the cost anfficulty of borrowingsome securities, the new funcannot scale up its short positions to the sameextent thit cscale up its long positions.Relative to Fun, Chiyosenko’s new equity funwill most likely exhibit a lower: A.information ratio B.iosyncratic risk C.collaterrequirement the new funcales up active risk ubling active weights, it will faimplementationconstraints thwill prevent it from increasing the weights of many of itsshort positions. The information ratio (IR) is finethe ratio of activereturn to active risk. If there were no constraints preventing the new funrom scaling up active weights, it coulscale up active risk scaling upactive weights, proportionally increase active return, ankeep the IRunchange Implementation constraints experiencethe new fun however,suthe cost anfficulty in borrowing securities to support thescaleup short positions, will prevent the active return from proportionallyincreasing with the active risk. Therefore, the IR woulmost likely lowerfor the new funthfor Fun1. the following chart illustrates, activerisk is scaleup, implementation constraints create minishing returns toscale for active returns, theregrang the IR. iosyncratic risk是变大还是变小？