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lcrcp3 · 2023年10月11日

如题

NO.PZ2023040601000105

问题如下:

An analyst is given the following information about a portfolio and its benchmark. In particular, the analyst is concerned that the portfolio is a closet index fund. The T-bill return chosen to represent the risk-free rate is 0.50%.


Which of the following three statements does not justify your belief that the portfolio is a closet index?

  • I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.
  • II. The information ratio of the portfolio is relatively small.
  • III. The active risk of the portfolio is very low.

选项:

A.

Statement I

B.

Statement II

C.

Statement III

解释:

A closet index will have a very low active risk and will also have a Sharpe ratio very close to the benchmark. Therefore, Statements I and III are consistent with a closet index portfolio. A closet index’s information ratio can be indeterminate (because the active risk is so low), and often negative due to management fees.

不公开的指数是个什么东西?这个知识点不记得学过,都有什么结论?用中文列一下,别贴讲义!看不懂

JerryZT · 2023年10月11日

closet index应该指的是与大盘指数最相近的意思,如果IR和active risk都低,就说明我们的组合是被动投资,即follow index指数,所以排除II和III

lcrcp3 · 2023年10月12日

closet和closest不是一个词哦

1 个答案

星星_品职助教 · 2023年10月15日

Closet index为名义上是主动投资的基金,实际上和被动投资类似。

Active return和active risk低,IR大小不确定。Sharpe ratio和benchmark相近。

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2024-07-31 19:32 1 · 回答

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2023-10-28 16:49 1 · 回答