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海伦岛主 · 2020年10月12日

问一道题:NO.PZ2015121810000006

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.

既然是index fund,是不是意味着即使能在active为0的情况下有创造active return的机会,这个fund也不要这部分active return?所以active return应该是0,才说明meet了index fund的投资目的?

1 个答案
已采纳答案

星星_品职助教 · 2020年10月12日

同学你好,

index fund的投资就是完全根据所追踪的index来投,这是被动投资的一种,不会有主动寻找投资机会的策略。所以正常也不会有active return。

只要投资的收益和所追踪的index一样,就认为这个fund达到了投资目标。