老师问下这道题的B选项

问题如下：

7. Which proposed change to Fund W would most likely decrease Candidate C’s information ratio?

选项：

Change 1

Change 2

Change 3

解释：

C is correct.

The IR is calculated as IR = (TC) (IC) √BR, where BR is breadth. Change 3, establishing new constraints of caps on the over- and underweight of sectors, reduces the correlation of optimal active weights with the actual active weights, which results in a decreased TC and thus a decrease in the IR. Change 1 (increasing portfolio size from 36 to 50) and Change 2 (increasing the frequency of rebalancing from annually to semiannually) would both likely have the effect of increasing the BR of the portfolio, which would increase the IR.

考点：The full fundamental law

解析：根据$IR=TC\times IC\times\sqrt{BR}$，

A，股票数量由36增加到50，因此独立预测次数变多，BR变大，导致IR变大，A错。

B，rebalance次数由一年一次变成半年一次，因此独立预测次数变多，BR变大，导致IR变大，B错。

C，增加限制条件导致TC变小，导致IR变小，C正确。