就是想问问问一道题：NO.PZ201710100100000405 第5小题 [ CFA II ]

NO.PZ201710100100000405 问题如下 5. If Frazee aethe assumption he is consiring in FunW’s portfolio construction, it woulmost likely result in: A.a crease in the optimaggressiveness of the active strategy. B.the information ratio becoming invariant to the level of active risk. C.increase in the transfer of active return forecasts into active weights. A is correct.The new assumption as constraints to FunW. The IR for a constraineportfolio generally creases with the aggressiveness of the strategy because portfolio constraints rethe transfer of active return forecasts into active weights. Furthermore, the optimactive risk is given the following formula:sigmaA=TCIRSRBσBsigma_A=TC\frac{IR}{SR_B}\sigma_BsigmaA​=TCSRB​IR​σB​The aition of portfolio constraints reces the Tthus also recing the optimactive risk. So, having maximum over- anunrweight constraints on single-country positions creases the optimaggressiveness of the active management strategy考点The full funmentlaw解析由于constraints的引入， optimamount of active risk 的公式变为sigmaA=TCIR∗SRBσBsigma_A=TC\frac{IR^\ast}{SR_B}\sigma_BsigmaA​=TCSRB​IR∗​σB​,也就是增加了TC项，增加限制条件导致TC 1，因此optimamount of active risk减小，A正确。B，错误。没有constraints时，IR不受aggressiveness的影响；但是增加限制条件使得基金经理实现自己想法的难度增加，因此IR会减小。C，错误，增加限制条件使得基金经理实现自己想法的难度增加，因此将预期的active return转为实际投资组合构建的程度下降，因此TC会减小。 老师，那是不是在有限制的情况下，information ratio 还是符合IR=active return/active risk，所以其实还是相关的？而且那个时候active risk是减小的，所以IR变大？唉？那不就不对了吗？IR不是在TF小于1，那IR不是变小吗？矛盾了。

NO.PZ201710100100000405

老师，那个optimrisk公式右边也有个IR 如果更aggressive, TC减小， IR也减小，为啥就说等式左边的sigma就变小呢？ 而且更aggressive， sigma不是变大么，风险和波动更大么不是？

    B错在哪里? 正确的是否为the information ratio becoming variant to the level of active risk

    A翻译成中文的意思是，这句话没有出现IR，虽然我知道IR减少。