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LHY · 2021年11月07日

这里的IR和fundamental law 里面关于constrained portfolio的IR受aggressiveness影响的区别什么?

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IR2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?

1 个答案

星星_品职助教 · 2021年11月07日

同学你好,

unconstraint portfolio中,TC=1,此时IR不受aggressiveness影响

但在constraint portfolio中,TC小于1,所以当aggressiveness增加时,基金经理投资的想法会受到限制,所以IR是减小的。