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必过50 · 2022年09月17日

b答案麻烦老师解答一下，谢谢

  1. CFA III
  2. Equity

NO.PZ2019012201000034

问题如下：

The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?

选项：

A.

Investment policy allows short positions.

B.

Limited diversification opportunities.

C.

Investment policy restricts maximum position sizes.

解释：

C is correct.

考点： Determining the Appropriate Level of Risk

解析：如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。

b答案麻烦老师解答一下，谢谢

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1 个答案

笛子_品职助教 · 2022年09月18日

嗨，爱思考的PZer你好：


b答案麻烦老师解答一下，谢谢


Hello，亲爱的同学。B选项考查的是，基础讲义253页，方框里的一句话。


本题问的是，不断扩大规模，还想维持IR不变的限制是什么。


这道题和B选项并没太多的关联，因为根据以上基础讲义，所以Limited diversification opportunities讲的是SR（Sharp ratio），而本题问的是IR（Information ratio）。SR是从绝对风险风险出发，描述的是每承担一单位主动风险带来多少回报，而IR是主动投资收益除以主动投资风险。因此不选B。





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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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