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jqm · 2020年05月12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，本题的另一选项，分散化机会的减少不也是一种限制吗？

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2 个答案

笛子_品职助教 · 2023年03月29日

嗨，爱思考的PZer你好：


同感，助教们给出的diversification会影响SR不能推出diversification不会影响到IR。

Hello，亲爱的同学！

我们也可以用换个角度来看。我们使用以下公式来分析




根据以上公式：把active risk移到等式右边，得出：


IR =



当限制position size时，意味着基金经理多出了一个限制，insight转变为decision的能力受限，即TC会变小。

根据IR公式，TC小了，IR也会变小。

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加油吧，让我们一起遇见更好的自己！

maggie_品职助教 · 2020年05月13日

嗨，努力学习的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，我看你报的是全线班李老师在基础班做了详细的讲解：


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虽然现在很辛苦，但努力过的感觉真的很好，加油！


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

Feeling · 2023年03月29日

同感，助教们给出的diversification会影响SR不能推出diversification不会影响到IR。

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