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AnnaZ · 2024年02月25日

B

NO.PZ2019012201000034

问题如下:

The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?

选项:

A.

Investment policy allows short positions.

B.

Limited diversification opportunities.

C.

Investment policy restricts maximum position sizes.

解释:

C is correct.

考点: Determining the Appropriate Level of Risk

解析:如果策略限制最大的头寸,基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。

B是SR的,怎么理解这句话

1 个答案

笛子_品职助教 · 2024年02月26日

嗨,从没放弃的小努力你好:


B是SR的,怎么理解这句话


Hello,亲爱的同学~

Sharpe Ratio = (R–r)/σ,其中:

R=投资的回报期望值(平均回报率)

r=无风险投资的回报率(可理解为投资国债的回报率)

σ=回报率的标准方差(衡量波动性的最常用统计指标)

夏普比率S越高,投资机会的“质量”越高。


而B选项,分散化程度,与SR中的σ有关。

分散化程度被限制后,σ会上升。

注意,σ是指绝对风险,而不是active risk相对风险。

sharp ratio衡量的也是绝对收益风险比。


因此,这道题和B选项并没太多的关联。

Limited diversification opportunities讲的是SR(Sharp ratio),而本题问的是IR(Information ratio)。

SR是从绝对收益/风险的角度出发,描述的是每承担一单位绝对风险带来多少绝对回报。

而IR是主动投资收益除以主动投资风险。

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