问一道题：NO.PZ201710100100000203

问题如下：

3. Based on Exhibit 2, which portfolio has the best information ratio?

选项：

Portfolio 1

Portfolio 2

Portfolio 3

解释：

A is correct.

Portfolio 1 has the highest information ratio, 1.0, and thus has the best mean active return per unit of active risk:

$IR=\frac{\overline{R_P}-\overline{R_B}}{s(\overline{R_P}-\overline{R_B})}=\frac{1.50\%}{1.50\%}=1.00$

This information ratio exceeds that of Portfolio 2 (–0.38) or Portfolio 3 (0.50).

考点：information ratio

解析：根据information ratio的公式，代入数字即可。判断标准是，IR越大越好。