问题如下:
4. Based on Exhibit 1, combining Fund W with a fund that replicates the benchmark would produce a Sharpe ratio closest to:
选项:
A.0.44.
B.0.56.
C.0.89.
解释:
B is correct.
Given the IR for Fund W of 0.35 and the benchmark’s SR of 0.44, the combination of the benchmark portfolio and Fund W would produce an SR of 0.55, calculated as follows:
SRP = (0.442 + 0.352)0.5 = 0.56
考点:Combined Sharpe ratio
解析:对Fund W和benchmark的组合求Sharpe ratio,代入公式即可:。SR=0.56。
在考虑了constraint之后,我算出的答案是A。在考试的时候,是在问题中不提到fundamental law就不用考虑constraint吗?即使题目给了条件?