NO.PZ2018091701000039
问题如下:
Analysts collected some market data in order to find maximum Sharpe ratio of manager, based on his analysis, market’s expected annual return is 7%, return standard deviation is 24%, Sharpe ratio is 0.41. Universe fund has active return 6% and active risk 12%. How to distribute the weights between Universe fund and benchmark portfolio, can achieve the maximum Sharpe ratio and optimal amount of active risk:
选项:
A.2.44 on Universe fund and -1.44 on the benchmark
B.1.44 on Universe fund and -0.44 on the benchmark
C.1.44 on Universe fund and -2.44 on the benchmark
解释:
A is correct.
考点:考察公式 STD(RA)=(IR/SRB)*STD(RB)
解析:第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5
然后代入公式:
STD(RA)=(IR/SRB)*STD(RB)=(0.5/0.41)*0.24=29.27%
分配给Universe fund的权重:29.27%/12%=2.44
分配给基准市场组合的权重:1-2.44=-1.44
这里是用了求optimal amount of active risk的公式,那maximum Sharpe ratio怎么体现呢?