请问B为什么不对？

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：

Investment policy allows short positions.

Limited diversification opportunities.

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。

如题，请问这道题B为什么不对？

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笛子_品职助教 · 2024年04月06日

嗨，努力学习的PZer你好：

如题，请问这道题B为什么不对？

Hello，亲爱的同学。

B选项考查的是，基础讲义里的一句话。见下图方框。

本题问的是，不断扩大规模，还想维持IR不变的限制是什么。

这道题和B选项并没太多的关联，因为根据以上基础讲义，所以Limited diversification opportunities讲的是SR（Sharp ratio），而本题问的是IR（Information ratio）。SR是从绝对风险风险出发，描述的是每承担一单位主动风险带来多少回报，而IR是主动投资收益除以主动投资风险。因此不选B。

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NO.PZ2019012201000034问题如下The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint?A.Investment poliallows short positions.Limiteversification opportunities. C.Investment polirestricts maximum position sizes.C is correct.考点 termining 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。可以这样理解吗题目关注的点是information ratio所以选implementation constraints C；如果题目关注的点是sharpe ratio就会需要选择versification opportunities B？谢谢老师！

2024-04-08 20:12 1 · 回答

NO.PZ2019012201000034 问题如下 The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint? A.Investment poliallows short positions. Limiteversification opportunities. C.Investment polirestricts maximum position sizes. C is correct.考点 termining 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 falimiteversification opportunities whimleto a crease in the SR.- B排除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 unchange C排除

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请问B为什么不对？

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