问一道题：NO.PZ201710100100000403 第3小题 [ CFA II ]

B.

Fund Y

C.

Fund Z

解释：

C is correct.

The IR measures the consistency of active return. The IR is calculated for the three funds as follows:

$IR=\frac{R_P-R_B}{STD{(R_P-R_B)}}=\frac{R_A}{STD{(R_A)}}$

IR for Fund X = (10.0 – 9.4)/5.2 = 0.6/5.2 = 0.12

IR for Fund Y = (11.6 – 9.4)/9.2 = 2.2/9.2 = 0.24

IR for Fund Z = (13.2 – 9.4)/15.1 = 3.8/15.1 = 0.25

Fund Z has the largest IR and thus is expected to produce the greatest consistency of active return

考点：information ratio

解析：题干问的是 greatest consistency of active return持续的超额回报，也就是基金经理主动管理基金的能力，因为衡量指标为information ratio。通过计算，XYZ的IR分别为：0.12，0.24，0.25。因此选C。