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Spencer · 2020年02月26日

问一道题:NO.PZ2015121810000006

问题如下:

Address the following questions about the information ratio.

A. What is the information ratio of an index fund that effectively meets its investment objective?

B. What are the two types of risk an active investment manager can assume in seeking to increase his information ratio?

选项:

解释:

A. An index fund that effectively meets its investment objective is expected to have an information ratio of zero, because its active return should be zero.

B. The active manager may assume active factor risk and active specific risk (security selection risk) in seeking a higher information ratio.

老师请问,active factor risk是否可以等价视为factor tilt, active specific risk视为security selection?一个从risk角度,一个从return角度

1 个答案
已采纳答案

丹丹_品职答疑助手 · 2020年02月26日

同学你好,factor tils:the first component is the product of the portfolio manager's factor tils over - or underweights relative to the  benchmard factor sensitivities) and the factor return,

active factor risk is the contribution to active risk squared resulting from the portfolio's different-from-benchmark exposures relative to factors specific in the risk model.

这部分可以理解为投资者对于不同风险因子的敞口进行选择从而获得收益,承担的风险。

security selection: the second component of active return reflects the manager's skill in individual asset selection.

active specific risk =security selection risk

指的就是选择有好的表现的债券获得的收益,承担的风险。

你的理解思路是正确的。