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晏晏 · 2020年06月19日

问一道题:NO.PZ2018091701000051 [ CFA II ]

问题如下:

At the PZ Company’s morning meeting between analysts and the sales staff, Fund manager Matthew gave a short presentation on the investment report. He makes two conclusions about fundamental law to estimate expected active returns:

Conclusion one: If portfolio is unconstrained, information ratio is dependent on the level of active risk.

Conclusion two: If portfolio is constrained, information ratio will decrease with the decrease in transfer coefficient.

Which of the following statement is most likely correct?

选项:

A.

Only conclusion one is correct.

B.

Only conclusion two is correct.

C.

Both conclusions are correct.

解释:

B is correct.

考点fundamental law 的应用

解析:相关结论:

对于unconstrained portfolio, IR is invariant to the level of active risk.

对于constrained portfolio, IR decreases because lower transfer coefficient.

Level of active risk是指weight吗?
1 个答案

丹丹_品职答疑助手 · 2020年06月21日

嗨,努力学习的PZer你好:


同学你好,你的思路是对的。active weight就是承担active risk的程度


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努力的时光都是限量版,加油!