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Betty · 2024年03月17日

能不能展开讲讲A选项，如果不用排除法。以及看看排除法思路

  1. CFA III
  2. Equity

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。

如果是根据排除法（能不能看看这个思路对不对）

讲义: Portfolios with high absolute risk targets face limited diversification opportunities which may lead to a decrease in the SR.->B排除

C: IR=active return/active risk=IC*TC*sqrt(BR), restriction on position size->TC can't increase->IR can't increase (no change), not a constraint to keep IR unchanged->C排除


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1 个答案

笛子_品职助教 · 2024年03月17日

嗨，努力学习的PZer你好：


能不能展开讲讲A选项


Hello，亲爱的同学！

信息比率（IR）被定义为主动收益与主动风险的比率。基金经理的目标是在保持相同信息比率的同时，随着主动风险的线性增加主动回报。然而，可能存在一些限制，使管理者无法保持IR不变。以下哪一项被视为约束条件？

也就是说，本题要选，限制投资策略的因素。

A选项，允许做空，这是对投资策略放开了限制。不是增加了限制。因此不选。


如果不用排除法。以及看看排除法思路

C: IR=active return/active risk=IC*TC*sqrt(BR), restriction on position size->TC can't increase->IR can't increase (no change), not a constraint to keep IR unchanged->C排除


同学注意理解题意。

信息比率（IR）被定义为主动收益与主动风险的比率。基金经理的目标是在保持相同信息比率的同时，随着主动风险的线性增加主动回报。然而，可能存在一些限制，使管理者无法保持IR不变。以下哪一项被视为约束条件？


本题不是问的，什么使IR不变。

本题问的是，管理者希望IR保持不变，但是做不到，因为有一些因素会使IR变小。那么，是什么使IR变小。

C选项增加限制，会使TC变小，从而IR变小。

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