NO.PZ2023010903000073
问题如下：
Ap learns that Chiyodasenko has initiated a new equity fund. It is similar to Fund 1 but scales up active risk by doubling all of the active weights relative to Fund 1. The new fund aims to scale active return linearly with active risk, but implementation is problematic. Because of the cost and difficulty of borrowing some securities, the new fund cannot scale up its short positions to the same extent that it can scale up its long positions.
Relative to Fund 1, Chiyodasenko’s new equity fund will most likely exhibit a lower:
选项：
A.information ratio
idiosyncratic risk
collateral requirement
解释：
As the new fund scales up active risk by doubling active weights, it will face implementation constraints that will prevent it from increasing the weights of many of its short positions. The information ratio (IR) is defined as the ratio of active return to active risk. If there were no constraints preventing the new fund from scaling up active weights, it could scale up active risk by scaling up active weights, proportionally increase active return, and keep the IR unchanged. Implementation constraints experienced by the new fund, however, such as the cost and difficulty in borrowing securities to support the scaled-up short positions, will prevent the active return from proportionally increasing with the active risk. Therefore, the IR would most likely be lower for the new fund than for Fund 1. As the following chart illustrates, as active risk is scaled up, implementation constraints create diminishing returns to scale for active returns, thereby degrading the IR.
我理解A对
