NO.PZ2015121810000012
问题如下:
What is the maximum Sharpe ratio that a manager can achieve by combining the S&P 500 benchmark portfolio and the Indigo Fund?
选项:
A.
0.333
B.
0.365
C.
0.448
解释:
B is correct.
The highest squared Sharpe ratio of an actively managed portfolio is:
SRP2 = SRB2 + IR2 = 0.3332 + 0.152 = 0.1334The highest Sharpe ratio is
SRp = 0.365
考点:Sharpe ratio
解析: 求得是Indigo Fund与benchmark组合后的maximum Sharpe ratio。由于combined portfolio的IR不受激进程度的影响,因此无论当前的active risk是否处于optimal amount,IR的值不变。代入公式:
因此,SR=0.365。
老师,您好,
表里的数据active return是1.2%,active risk是8%,IR并不等于0.15呀,而是0.125,这是为什么?