Pepe · 2019年04月17日
* 问题详情，请 查看题干
问题如下图：
选项：
A. 
B. 
C. 
解释：
如题，如果无成本限制等，在完美情形下，scale up Information ratio 不变。这里想和Sharp ratio can be gamed做一个对比，Sharp ratio时间拉长，eg 从月到年，相当于分子return增长12倍，但分母standard deviation 未同比例增长，只增长了genghao根号12倍，导致Sharp ratio变大。这两个知识点感觉从数学原理上是一样的，为什么导出结果 一个是不变 一个是变大呢？求指点。
maggie_品职助教 · 2019年04月18日
不管是IR还是SR，月度数据变成年度数据都应该是保持不变的（因为时间拉的越长，相当于总共承担的风险也越大），SR比率会随着计算时间拉长呈平方根的速度增长这是用夏普比率衡量HF最大的缺点之一，因为他相当于假设前一期的波动和下一期的波动是不相关的（这是不现实的），因此SR can be gamed。
而这里IR不能一直保持不变（不是时间拉成造成的），是因为一些策略是有限制的，承担一单位风险不能获得等比例收益即上述图形是非线性（concave）这是实证检验的结果。
粉红豹 · 2020年01月12日
老师，这里的“用夏普比率衡量HF” 中的HF是什么啊？
maggie_品职助教 · 2020年01月14日
hedge fund的简称
NO.PZ201809170400000505 问题如下 Relative to Fun1, Chiyosenko’s new equity funwill most likely exhibit a lower: information ratio. iosyncratic risk. collaterrequirement. A is correct. the new funscales up active risk ubling active weights, it will faimplementation constraints thwill prevent it from increasing the weights of many of its short positions. The information ratio (IR) is finethe ratio of active return to active risk. If there were no constraints preventing the new funfrom scaling up active weights, it coulscale up active risk scaling up active weights, proportionally increase active return, ankeep the IR unchange Implementation constraints experiencethe new fun however, suthe cost anfficulty in borrowing securities to support the scaleup short positions, will prevent the active return from proportionally increasing with the active risk. Therefore, the IR woulmost likely lower for the new funthfor Fun1. the following chart illustrates, active risk is scaleup, implementation constraints create minishing returns to scale for active returns, theregrang the IR. 可以一下推导过程吗？
NO.PZ201809170400000505问题如下 Relative to Fun1, Chiyosenko’s new equity funwill most likely exhibit a lower: information ratio. iosyncratic risk. collaterrequirement. A is correct. the new funscales up active risk ubling active weights, it will faimplementation constraints thwill prevent it from increasing the weights of many of its short positions. The information ratio (IR) is finethe ratio of active return to active risk. If there were no constraints preventing the new funfrom scaling up active weights, it coulscale up active risk scaling up active weights, proportionally increase active return, ankeep the IR unchange Implementation constraints experiencethe new fun however, suthe cost anfficulty in borrowing securities to support the scaleup short positions, will prevent the active return from proportionally increasing with the active risk. Therefore, the IR woulmost likely lower for the new funthfor Fun1. the following chart illustrates, active risk is scaleup, implementation constraints create minishing returns to scale for active returns, theregrang the IR. 如题
NO.PZ201809170400000505问题如下 Relative to Fun1, Chiyosenko’s new equity funwill most likely exhibit a lower: information ratio. iosyncratic risk. collaterrequirement. A is correct. the new funscales up active risk ubling active weights, it will faimplementation constraints thwill prevent it from increasing the weights of many of its short positions. The information ratio (IR) is finethe ratio of active return to active risk. If there were no constraints preventing the new funfrom scaling up active weights, it coulscale up active risk scaling up active weights, proportionally increase active return, ankeep the IR unchange Implementation constraints experiencethe new fun however, suthe cost anfficulty in borrowing securities to support the scaleup short positions, will prevent the active return from proportionally increasing with the active risk. Therefore, the IR woulmost likely lower for the new funthfor Fun1. the following chart illustrates, active risk is scaleup, implementation constraints create minishing returns to scale for active returns, theregrang the IR. iosyncratic risk是不是可以理解为non systmatic risk
NO.PZ201809170400000505 iosyncratic risk. collaterrequirement. A is correct. the new funscales up active risk ubling active weights, it will faimplementation constraints thwill prevent it from increasing the weights of many of its short positions. The information ratio (IR) is finethe ratio of active return to active risk. If there were no constraints preventing the new funfrom scaling up active weights, it coulscale up active risk scaling up active weights, proportionally increase active return, ankeep the IR unchange Implementation constraints experiencethe new fun however, suthe cost anfficulty in borrowing securities to support the scaleup short positions, will prevent the active return from proportionally increasing with the active risk. Therefore, the IR woulmost likely lower for the new funthfor Fun1. the following chart illustrates, active risk is scaleup, implementation constraints create minishing returns to scale for active returns, theregrang the IR. 选择2是啥意思呢？谢谢
