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?