问题如下:
4. Which of Singh’s statements regarding the information ratio is correct?
选项:
A.Only Statement 1
B.Only Statement 2
C.Both Statement 1 and Statement 2
解释:
C is correct.
The information ratio for a portfolio of risky assets will generally shrink if cash is added to the portfolio. Because the diversified asset portfolio is an unconstrained portfolio, its information ratio would be unaffected by an increase in the aggressiveness of active weights.
考点: information ratio
解析: 定性结论,Statement 1 正确,增加cash会导致information ratio减小。Statement 2正确,增加aggressiveness不会改变information ratio。
您好,根据SR^2=SRb^2+IR^2,一个risky asset的sharp ratio可以拆分成benchmark的sharp ratio和IR,在这个risky asset里增加cash,根据sharp ratio的性质左边SR肯定不会变,右边SRb是benchmark的sharp ratio,benchmark是一个固定portfolio sharp ratio应该也不会变,既然两个sharp ratio都不会变,那增加cash IR减少这个等式要怎么平衡?谢谢