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