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lynnguini · 2022年10月27日

请问这道题中如何推断0.41说的是SR_B？

  1. CFA II
  2. Portfolio

NO.PZ2018091701000038

问题如下：

Analysts collected some market data to find maximum Sharpe ratio of manager, based on his analysis, market’s expected annual return is 7%, return standard deviation is 24%, Sharpe ratio is 0.41. Universe fund has active return 6% and active risk 12%. Please calculate the maximum Sharpe ratio:

选项：

A.

0.33

B.

0.65

C.

0.42

解释：

B is correct.

考点：考察公式 SR2p=SR2B+IR2

解析：第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5

第二步代入公式：

SR2p=SR2B+IR2=0.412+0.52=0.42

第三步开根号0.42得到0.65

我读题干的时候始终认为0.41说的是portfolio的SR，然后用 (0.412−0.52) 是无法求出的，只能通过这一点来推断题里给的SR可能是benchmark SR，但希望指导员可以帮我指出我忽略掉的hints，谢谢

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1 个答案

星星_品职助教 · 2022年10月27日

同学你好，

根据题干描述“...market’s expected annual return is 7%, return standard deviation is 24%, Sharpe ratio is 0.41. Universe fund has active return....”可知，“Universal fund”之前的部分都是描述“market”的，即return 7%、standard deviation 24%，和Sharpe ratio is 0.41都是“market”的数据。

market就是benchmark。即0.41为SRb.

换个角度，如果题干描述为“ market’s expected annual return is 7%, return standard deviation is 24%. Universe fund has active return 6% and active risk 12%，Sharpe ratio is 0.41”，此时SR才是portfolio的。

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NO.PZ2018091701000038问题如下 Analysts collectesome market ta to finmaximum Sharpe ratio of manager, baseon his analysis, market’s expecteannureturn is 7%, return stanrviation is 24%, Sharpe ratio is 0.41. Universe funhactive return 6% anactive risk 12%. Please calculate the maximum Sharpe ratio: 0.33 0.65 0.42 B is correct.考点考察公式 SR2p=SR2B+IR2解析第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5第二步代入公式SR2p=SR2B+IR2=0.412+0.52=0.42第三步开根号0.42得到0.65之前的拷贝如下①Rb-Rf≠7%，根据SRb=0.41和σb=24%可以得到Rb-Rf=9.84%②SRp分子的计算方式是由于IR=0.5，所以代入optimactive risk即σA后得到active return（即Rp-Rb）=14.635%。所以Rp-Rb=14.635%+9.84%=24.475%③SRp的分母不是σA，σA是optimactive risk，并不是σp，σp的算法为根号下 σb的平方+σA的平方，最后算出来应该是37.85%所以这种方法最后算出来的SRp=24.475%/37.85%=0.6466。和答案一致请问σA等于0.2927如何得到的？我算不出来

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