NO.PZ2023090401000099
问题如下:
Question An analyst is analyzing the historical performance of two commodity funds tracking the Reuters/Jefferies-CRB® Index as benchmark. The analyst collated the data on the monthly returns and decided to use the information ratio (IR) to assess which fund achieved higher returns more efficiently, and presented the findings as shown below:
What is the information ratio for each fund, and what conclusion can be drawn?
选项:
A.
IR for Fund 1 = 0.212, IR for Fund 2 = 0.155; Fund 1 performed better as it has a higher IR.
B.
IR for Fund 1 = 0.212, IR for Fund 2 = 0.155; Fund 2 performed better as it has a lower IR.
C.
IR for Fund 1 = 0.248, IR for Fund 2 = 0.224; Fund 1 performed better as it has a higher IR.
D.
IR for Fund 1 = 0.248, IR for Fund 2 = 0.224; Fund 2 performed better as it has a lower IR.
解释:
Explanation
A is correct. The information ratio may be calculated by either a comparison of the residual return to residual risk or the excess return to tracking error. The higher the IR, the better ‘informed’ the manager is at picking assets to invest in. Since neither residual return nor risk is given, only the latter is an option.
IR = E(Rp - Rb)/Tracking Error
For Fund 1: IR = 0.00073/0.00344 = 0.212; For Fund 2: IR = 0.00053/0.00341 = 0.155
Section Foundations of Risk Management
Learning Objective Calculate, compare, and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino ratio.
Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 5. Modern Portfolio Theory and the Capital Asset Pricing Model.
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