问题如下:
Analysts collected some information about active portfolio management:
The Sharpe ratio produced by combining Portfolio 1 and benchmark is closet to:
选项:
A.2.37
B.1.54
C.1.45
解释:
B is correct.
考点:investing in both the actively managed and benchmark portfolios
解析:
先求组合1 的IR:IR=8%/5.5%=1.45
再求一个新的SR,公式为SR2P=SR2B+IR2=2.37,然后再开根号等于1.54.
老师请问,有助教的回答“这里面“不变的SR”就是根据公式算出来的SRp。单个资产的SR在混入benchmark后是变化的,不变的是IR。”为何不变的是IR?