问题如下:
The benchmark portfolio is the Hang Sheng Index.
Which portfolio has the highest combined Sharpe ratio with benchmark portfolio?
选项:
A. Portfolio C
B. Portfolio A
C. Portfolio B
解释:
B is correct.
考点:考察公式SR2=SR2B+IR2
解析:Active portfolio with the highest (squared) information ratio will also have the highest (squared)SR.
IR可以作为唯一的衡量指标,也就是让你找IR最高的组合:
IRA=2%/12%=0.17
IRB=1.2%/8%=0.15
IRC=1%/13%=0.077
组合A的IR最高,因此选B。
怎么知道是考这个知识点呢?