NO.PZ2018091701000044
问题如下：
The benchmark portfolio is the Hang Sheng Index.
An analyst make conclusion:
Conclusion one: Portfolio C is closet index fund because its information ratio is very small.
Conclusion two: portfolio C is closet index fund because its Sharpe ratio is close to the benchmark.
Conclusion three: portfolio C is closet index fund because its active risk is the low
Which conclusion is least likely correct?
选项：
A.Conclusion two.
B.Conclusion one.
C.Conclusion three.
解释：
B is correct.
考点 ： closet index fund的特点，以及夏普比率和IR之间的辨析 。
解析 ：closet index fund的特点是：宣称自己是主动管理的，但实际的表现接近于指数基金，所以可以把它看作是追踪指数的基金 ，因此追踪误差比较低，也就是说主动风险低，Conclusion three正确。这样的基金与指数的收益率和标准差也很接近，所以夏普比率与基准接近，Conclusion two正确。由于IR= active return /active risk，closet index fund的active return 和active risk都是很小的数，尤其是分母，有细微的差别就对计算结果影响很大，所以IR结果如何是不确定的。因此结论1是错误的 。注意讲义和原版书上是有这样一句话，说closet index fund的IR有可能接近0或者是负值。但请注意后面还有一句话“Meanwhile, information ratio can be indeterminate because the active risk is so low."
解析说的是conclusion three是错的，答案却选了A，应该选C呀？？
