问题如下图:
选项:
A.
B.
C.
解释:
change in the aggressiveness of the weights will not change IR, 是说risky 或者risk free的weight变化不会影响IR, 没有其它的意思了对吧,short sell会影响TC, 影响sigma,"aggressiveness"指的就是sigma是吗
Shimin_CPA税法主讲、CFA教研 · 2019年01月10日
不是risky 或者risk free的weight。 这两个的权重是addition of cash or the use of leverage。addition of cash or the use of leverage不会改变sharpe ratio,因为Sharpe ratio是CML的斜率,同在一条CML线上,斜率不变,因此SR不变。
"aggressiveness"指的不是sigma。 aggressiveness of the weights 是实际权重与基准权重的偏离程度,比如Wp-Wb=20%是Wp-Wb=10%的激进程度的2(20%/10%=2)倍。对于unconstrained portfolio, IR 不受激进程度影响。
short sell 是一种限制,所以这个组合是 constrained portfolio,会使 TC 减小,根据答案的公式,从而影响 sigma A。
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=TCSRBIRσBThe 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=TCSRBIR∗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。