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dzlab · 2020年06月24日

问一道题：NO.PZ2015121810000013 [ CFA II ]

问题如下：

Which of the following pairs of weights would be used to achieve the highest Sharpe ratio and optimal amount of active risk through combining the Indigo Fund and benchmark portfolio, respectively?

选项：

A.

1.014 on Indigo and –0.014 on the benchmark

B.

1.450 on Indigo and –0.450 on the benchmark

C.

1.500 on Indigo and –0.500 on the benchmark

解释：

A is correct.

The optimal amount of active risk is:

\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%

The weight on the active portfolio (Indigo) would be 8.11%/8.0% = 1.014 and the weight on the benchmark portfolio would be 1 – 1.014 = – 0.014.

考点：Optimal amount of active risk

解析：Optimal amount of active risk

$\sigma_A=\frac{IR}{SR_B}\sigma_B=\frac{0.15}{0.333}\times18\%=8.11\%$

Indigo Fund现在的active risk是8%，为了使active risk达到最优水平，就将Indigo Fund与benchmark再做组合，形成active risk最优的combined fund。

假设Indigo Fund的权重为c, 那么

$\sigma_A=c\sigma_A^{fund},\;8.11\%=c8\%,\;c=1.014$

因此，benchmark的权重为1-1.014=-0.014

Active risk最优，标准是什么呢？是最小的active risk吗？

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丹丹_品职答疑助手 · 2020年06月27日

嗨，努力学习的PZer你好：

同学你好，按照这个公式求的就是optimal active risk，请知悉

σA=IR/SRB*σB

-------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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