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YAO Monica · 2024年05月03日

B为什么是对的？

  1. CFA II
  2. Portfolio

NO.PZ2023040601000101

问题如下：

Robbin asks each analyst to make an observation about his or her understanding of the information ratio.

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

选项：

A.

The observation made by Marano

B.

The observation made by Gladden

C.

The observation made by Wert

解释：

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.

即使有限制的情况，optimal也是可以找到，只是会因TC而打折。不是这样吗？

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品职助教_七七 · 2024年05月04日

嗨，爱思考的PZer你好：


这道题的重点不是能否找到optimal Portfolio，而是能否在禁止卖空的条件下还从增加active risk的行为中获益。

由于禁止卖空，所以增加active risk时，active return就跟不上了，无法同比例的增加，IR因此反而变小。故不能take advantage。

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NO.PZ2023040601000101 问题如下 Robbin asks eaanalyst to make observation about his or her unrstanng of the information ratio.Marano: The information ratio will change the active weights viate from the benchmark weights.Glaen: Because TRS's investment poliprohibits short positions, TRS woulunable to take aantage of any optimizeportfolios with increaseactive risk.Wert: The information ratio appears to the best criterion to evaluate the past performanof our active managers.With respeto the information ratio, whianalyst's observation is least likely correct? A.The observation ma Marano B.The observation ma Glaen C.The observation ma Wert The information ratio is unaffectethe aggressiveness of the active weights (viations from benchmark weights) because both the active return anthe active risk increase proportionally. 关于M的这句话，是不是可以理解为，asset allocation无法改变information ratio？只有security selection可以改变information ratioMarano: The information ratio will change the active weights viate from the benchmark weights.

2024-05-15 18:00 1 · 回答