NO.PZ2015121810000020
问题如下：
You have a portfolio 100% allocated to a manager with an ex-post active risk at 8.0%. You choose to allocate a 75% position to the active manager and 25% to the benchmark to bring the portfolio back to your target active risk of 6.0%. If the manager’s information ratio is 0.50, what happens to the information ratio of the portfolio after the reallocation?
选项：
A. The information ratio increases because the lower active risk reduces the denominator of the ratio.
B. The information ratio remains unchanged because allocations between the active portfolio and the benchmark don’t affect the information ratio.
C. The information ratio decreases because allocating some of the portfolio to the benchmark means that the external manager generates less active return.
解释：
B is correct.
The information ratio is unaffected by rebalancing the active portfolio and the benchmark portfolio. In this case, the active return and active risk are both reduced by 25%, and the information ratio will be unchanged.
考点：information ratio
解析：结论，information ratio不受aggressiveness的影响。
请问这道题里说把25%放去了benchmark,可不可以理解为放去了risk free的资产？那这样的话就是ir会因为cash或Use of leverage增加而拖累收益，从而降低？
