问题如下:
Analysts collected some market data to find maximum Sharpe ratio of manager, based on his analysis, market’s expected annual return is 7%, return standard deviation is 24%, Sharpe ratio is 0.41. Universe fund has active return 6% and active risk 12%. Please calculate the maximum Sharpe ratio:
选项:
A. 0.33
B. 0.65
C. 0.42
解释:
B is correct.
考点:考察公式 SR2p=SR2B+IR2
解析:第一步我们需要先根据已知条件计算出基金的information ratio: IR=6%/12%=0.5
第二步代入公式:
SR2p=SR2B+IR2=0.412+0.52=0.42
第三步开根号0.42得到0.65
如何在题目能看出这个经理要用active fund和大盘做组合?