问题如下:
An analyst is given the following information about a portfolio and its benchmark. In particular, the analyst is concerned that the portfolio is a closet index fund.1 The T-bill return chosen to represent the risk-free rate is 0.50%.
Which of the following three statements does not justify your belief that the portfolio is a closet index?
I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.
II. The information ratio of the portfolio is relatively small.
III. The active risk of the portfolio is very low.
选项:
A.Statement I
B.Statement II
C.Statement III
解释:
B is correct.
A closet index will have a very low active risk and will also have a Sharpe ratio very close to the benchmark. Therefore, Statements I and III are consistent with a closet index portfolio. A closet index’s information ratio can be indeterminate (because the active risk is so low), and often negative due to management fees.
考点: closet index fund
解析: closet index fund声称自己是积极主动管理的,但投资的股票、股票的权重都与benchmark非常接近。
Statement I 描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的Sharpe ratio也是接近的。
Statement III描述正确,因为投资的股票和股票的权重与benchmark接近,因此计算得出的active risk接近于0。
Statement II,因为IR=active return/active risk,而closet index fund的activer return和active risk都接近于0,如果active risk远小于activer return,那么IR就可能是非常大的数值。 而一旦active return
这道题,题目的表格中,不是给出了information ratio为0.1896了吗?难道不是通过给出的信息来判断吗?