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Moonymoreo · 2020年02月21日

问一道题：NO.PZ2019012201000034

  1. CFA III
  2. Equity

问题如下：

The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?

选项：

A.

Investment policy allows short positions.

B.

Limited diversification opportunities.

C.

Investment policy restricts maximum position sizes.

解释：

C is correct.

考点： Determining the Appropriate Level of Risk

解析：如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。

请问B选项为什么不对？

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2 个答案

ljy · 2020年03月02日

明白了，我一开始也选了B，没有仔细审题，问的是IR，position相当于也限制了TC的能力，导致TC<1

在这里再把李老师对应风险获得不了收益的三个点列一下：

1、IR，主要是TC的限制

2、SR，主要是有效前沿是concave的，伴随着承担Rp增加，能投的分散化能力下降，可投的东西越来越少，diversify降低

3、leverage，导致在多期时Rg=Ra-volatility^2/2,即几何平均会伴随着风险变大而变小，无法跟住风险做线性变化。

SUN · 2020年05月24日

课本上有明确说明size限制会影响IR，也可以找到diversification会影响SR，但是找遍了二级和三级的教材，根本找不到说diversification限制不会影响IR。这道题原题是问不会影响，结果品职把原题改成了会影响，而课本上从来没说过diversification限制不会影响IR

怡嘉-1+ · 2022年12月18日

说的在理

maggie_品职助教 · 2020年02月22日

嗨，爱思考的PZer你好：


因为B影响的是sharp ratio而不是IR，请看讲义250页以及对应的视频：


-------------------------------
努力的时光都是限量版，加油！


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