问题如下：
The benchmark portfolio is the Hang Sheng Index.
Which portfolio has the highest combined Sharpe ratio with benchmark portfolio?
选项：
A. Portfolio C
B. Portfolio A
C. Portfolio B
解释：
B is correct.
考点：考察公式SR2=SR2B+IR2
解析：Active portfolio with the highest (squared) information ratio will also have the highest (squared)SR.
IR可以作为唯一的衡量指标，也就是让你找IR最高的组合：
IRA=2%/12%=0.17
IRB=1.2%/8%=0.15
IRC=1%/13%=0.077
组合A的IR最高，因此选B。
怎么知道是考这个知识点呢？