题干不明白

问题如下：

Frazee decides to add a fourth offering to his group of funds, Fund W. He is considering adding the following constraint to his portfolio construction model: Fund W would now have maximum over- and underweight constraints of 7% on single-country positions.

If Frazee added the assumption he is considering in Fund W’s portfolio construction, it would most likely result in:

选项：

A.

a decrease in the optimal aggressiveness of the active strategy.

B.

the information ratio becoming invariant to the level of active risk.

C.

an increase in the transfer of active return forecasts into active weights.

解释：

The new assumption adds constraints to Fund W. The IR for a constrained portfolio generally decreases with the aggressiveness of the strategy because portfolio constraints reduce the transfer of active return forecasts into active weights. Furthermore, the optimal active risk is given by the following formula:

${{\sigma }_{A}}=TC\frac{IR}{S{{R}_{B}}}{{\sigma }_{B}}$

The addition of portfolio constraints reduces the TC, thus also reducing the optimal active risk.

So, having maximum over- and underweight constraints on single-country positions decreases the optimal aggressiveness of the active management strategy.