问题如下:
3. Based on Exhibit 1, which fund is expected to produce the greatest consistency of active return?
选项:
A. Fund X
B. Fund Y
C. Fund Z
解释:
C is correct.
The IR measures the consistency of active return. The IR is calculated for the three funds as follows:
IR for Fund X = (10.0 – 9.4)/5.2 = 0.6/5.2 = 0.12
IR for Fund Y = (11.6 – 9.4)/9.2 = 2.2/9.2 = 0.24
IR for Fund Z = (13.2 – 9.4)/15.1 = 3.8/15.1 = 0.25
Fund Z has the largest IR and thus is expected to produce the greatest consistency of active return
考点:information ratio
解析:题干问的是 greatest consistency of active return持续的超额回报,也就是基金经理主动管理基金的能力,因为衡量指标为information ratio。通过计算,XYZ的IR分别为:0.12,0.24,0.25。因此选C。
老师,算IR公式里分母是STD,为什么不是除以expected volatility?