NO.PZ2023040601000096
问题如下:
Robbin reviews data compiled by Gladden for Bosphorus Investment Advisers for the meeting. After reviewing Gladden's work, Robbin requests that the analysts include the information ratio in all future exhibits.
Based on the information presented in Exhibit 1, the information ratio for Bosphorus is closest to:
选项:
A.0.53.
0.26.
0.26.
解释:
The information ratio is calculated by dividing the active return (RA) by the active risk. The active risk is the standard deviation of the difference between portfolio return and the benchmark return STD(RP - RB)].
\[IR=\frac{\overline{{{R}_{P}}}-\overline{{{R}_{B}}}}{{{s}_{({{R}_{P}}-{{R}_{B}})}}}=\frac{18.54-18.14}{1.56}=\frac{0.40}{1.56}=0.26\]
可以重新发一下公式和解题过程吗?谢谢