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eee · 2018年06月11日

问一道官网练习题目



Marano: The information ratio will change as the active weights deviate from the benchmark weights.

Gladden: Because TRS’s investment policy prohibits short positions, TRS would be unable to take advantage of any optimized portfolios with increased active risk.

Wert: The information ratio appears to be the best criterion to evaluate the past performance of our active managers.




Q. With respect to the information ratio, which analyst’s observation is least likely correct?

  1. The observation made by Marano
  2. The observation made by Wert
  3. The observation made by Gladden

Solution

A is correct. The information ratio is unaffected by the aggressiveness of the active weights (deviations from benchmark weights) because both the active return and the active risk increase proportionally.

B is incorrect because the best criterion to evaluate past performance of active managers is the information ratio, so the statement made by Wert is correct.

C is incorrect because to increase the active risk of a portfolio, one would need to shorten the benchmark portfolio, so Gladden’s statement is correct.


我想问下

Gladden那个选项,如果无法做空,就没有任何办法增加active risk吗,也就是说做空是增加active risk的唯一方法吗?减少benchmark 的比例或者增加active weight 等等是不是都有可能增加active risk





2 个答案
已采纳答案

品职辅导员_小明 · 2018年06月16日

可以通过调节组合和benchmark之间的权重来增加risk

品职辅导员_小明 · 2018年06月11日

根据公式IR=TC*IC*^BR

如果不能做空,TC就是很低的,此时IR不能最大化。

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