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ytt0624 · 2019年04月21日

问一道题:NO.PZ2018091701000044 [ CFA II ]

讲义中没有写sharp ratio能用来判断closet index fund

问题如下图:

选项:

A.

B.

C.

解释:

1 个答案

Wendy_品职助教 · 2019年04月22日

同学,你好,这道题的结论可以记忆一下。有些知识点很小很细,讲义中没有提到,然后正好题目中可以补充,其实有些题目的结论很好,可以记忆。 继续加油!

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NO.PZ2018091701000044 问题如下 The benchmark portfolio is the Hang Sheng Inx.analyst make conclusion:Conclusion one: Portfolio C is closet inx funbecause its information ratio is very small.Conclusion two: portfolio C is closet inx funbecause its Sharpe ratio is close to the benchmark.Conclusion three: portfolio C is closet inx funbecause its active risk is the lowWhiconclusion is least likely correct? A.Conclusion two. B.Conclusion one. C.Conclusion three. B is correct.考点 closet inx fun特点,以及夏普比率和IR之间的辨析 。解析 closet inx fun特点是宣称自己是主动管理的,但实际的表现接近于指数基金,所以可以把它看作是追踪指数的基金 ,因此追踪误差比较低,也就是说主动风险低,Conclusion three正确。这样的基金与指数的收益率和标准差也很接近,所以夏普比率与基准接近,Conclusion two正确。由于IR= active return /active risk,closet inx funactive return 和active risk都是很小的数,尤其是分母,有细微的差别就对计算结果影响很大,所以IR结果如何是不确定的。因此结论1是错误的 。注意讲义和原版书上是有这样一句话,说closet inx funIR有可能接近0或者是负值。但请注意后面还有一句话“Meanwhile, information ratio cinterminate because the active risk is so low.\" 我的理解是SR不受杠杆影响,那组合C的SR即使与inx一样,C的配置比例也可以是千变万化的,不也是不能推出其是closet inx fun?

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NO.PZ2018091701000044 老师好 是不是closet inx 的特点就是iR 很低 或无法确认 因为分母active risk =0. 与sharp ratio 无关是吗? 谢谢

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