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台风来了 · 2023年08月09日

增加现金会导致IR下降吗?

NO.PZ2023040601000108

问题如下:

Martinez asks Singh about the possible effects on the portfolio’s information ratio if cash were added to the diversified asset portfolio or if the aggressiveness of the portfolio’s active weights were increased. Singh responds with two statements:

  • Statements1: Adding cash to the portfolio would change the portfolio’s information ratio.
  • Statements2: Increasing the aggressiveness of active weights would not change the portfolio’s information ratio.
Which of Singh’s statements regarding the information ratio is correct?

选项:

A.

Only Statement 1

B.

Only Statement 2

C.

Both Statement 1 and Statement 2

解释:

The information ratio for a portfolio of risky assets will generally shrink if cash is added to the portfolio. Because the diversified asset portfolio is an unconstrained portfolio, its information ratio would be unaffected by an increase in the aggressiveness of active weights.

增加现金会导致IR下降吗?为什么?谢谢!

1 个答案

星星_品职助教 · 2023年08月13日

同学你好,

IR代表基金经理主动管理的能力。保留现金不去投资相当于该基金经理主动管理能力不足,即增加现金会导致IR下降。

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