开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

白泽 · 2024年05月09日

sharpe ratio 不是跟active无关吗?

NO.PZ2015121810000018

问题如下:

An analyst is given the following information about a portfolio and its benchmark. In particular, the analyst is concerned that the portfolio is a closet index fund.1 The T-bill return chosen to represent the risk-free rate is 0.50%.

Which of the following three statements does not justify your belief that the portfolio is a closet index?

I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.

II. The information ratio of the portfolio is relatively small.

III. The active risk of the portfolio is very low.

选项:

A.

Statement I

B.

Statement II

C.

Statement III

解释:

B is correct.

A closet index will have a very low active risk and will also have a Sharpe ratio very close to the benchmark. Therefore, Statements I and III are consistent with a closet index portfolio. A closet index’s information ratio can be indeterminate (because the active risk is so low), and often negative due to management fees.

考点: closet index fund

解析: closet index fund声称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。

Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。

Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。

Statement II,因为IR=active return/active risk,而closet index fund的activer return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。  而一旦active returncloset index fund的IR还有可能出现负数。所以IR结果如何是无法确定的。

No.PZ2015121810000018 (选择题)

来源: 原版书

An analyst is given the following information about a portfolio and its benchmark. In particular, the analyst is concerned that the portfolio is a closet index fund.1 The T-bill return chosen to represent the risk-free rate is 0.50%.

Which of the following three statements does not justify your belief that the portfolio is a closet index?

I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.

II. The information ratio of the portfolio is relatively small.

III. The active risk of the portfolio is very low.

您的回答A, 正确答案是: B

A

不正确Statement I

B

Statement II

C

Statement III

数据统计(全部)

做对次数: 2560

做错次数: 2105

正确率: 54.88%

数据统计(个人)

做对次数: 0

做错次数: 1

正确率: 0.00%

解析

B is correct.

A closet index will have a very low active risk and will also have a Sharpe ratio very close to the benchmark. Therefore, Statements I and III are consistent with a closet index portfolio. A closet index’s information ratio can be indeterminate (because the active risk is so low), and often negative due to management fees.

考点: closet index fund

解析: closet index fund声称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。

Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。

Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。

Statement II,因为IR=active return/active risk,而closet index fund的activer return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return



sharpe ratio 不是跟active无关吗?为什么可以通过看shape ratio判断是不是active的策略?

1 个答案

品职助教_七七 · 2024年05月10日

嗨,爱思考的PZer你好:


closet index fund是表面上声称是主动管理基金,实际投的却和benchmark基本一样。所以closet index fund和benchmark的sharpe ratio非常近似,因为几乎就可以认为是同一类基金。

----------------------------------------------
努力的时光都是限量版,加油!

  • 1

    回答
  • 0

    关注
  • 205

    浏览
相关问题

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。Statement II,因为IR=active return/active risk,而closet inx funactiver return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return management fee,那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 “”如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return management fee,那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。”没看懂答案这段话的意思?可以在一下吗?

2024-10-15 18:18 1 · 回答

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。Statement II,因为IR=active return/active risk,而closet inx funactiver return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return management fee,那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 这种基金怎么翻译比较好呢?不太理解这个基金存在和学习的实际意义

2024-07-12 10:08 1 · 回答

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。Statement II,因为IR=active return/active risk,而closet inx funactiver return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return management fee,那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 active risk 怎么算的,讲义里面哪里有说到

2022-10-28 22:05 1 · 回答

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。Statement II,因为IR=active return/active risk,而closet inx funactiver return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return management fee,那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 请问图表里 portfolio active risk anactive return 指的是portfolio和谁的active risk/return呢? 还是说这只是个干扰项?

2022-08-18 21:04 2 · 回答