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