NO.PZ2018091701000004
问题如下:
Analysts make two statements about information ratio:
Statement one: IR is affected by the addition of cash or the use of leverage
Statement two: IR is affected by the aggressiveness of active weight.
Which of the following is correct?
选项:
A.only statement one is correct.
B.only statement two is correct.
C.both statement one and two are correct.
解释:
A is correct.
考点:IR的2个推论
解析:推论一是IR is affected by the addition of cash or the use of leverage,这里cash的权重提升,IR会下降。
推论二 IR is unaffected by the aggressiveness of active weight,投的越激进,回报就会增加,同时风险也会增加,所以IR不变。
这里的IR和fundamental law 里面关于constrained portfolio的IR受aggressiveness影响的区别什么?