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Churning · 2021年03月11日

老师问下这道题的B选项

* 问题详情,请 查看题干

NO.PZ201710100100000407

问题如下:

7. Which proposed change to Fund W would most likely decrease Candidate C’s information ratio?

选项:

A.

Change 1

B.

Change 2

C.

Change 3

解释:

C is correct.

The IR is calculated as IR = (TC) (IC) √BR, where BR is breadth. Change 3, establishing new constraints of caps on the over- and underweight of sectors, reduces the correlation of optimal active weights with the actual active weights, which results in a decreased TC and thus a decrease in the IR. Change 1 (increasing portfolio size from 36 to 50) and Change 2 (increasing the frequency of rebalancing from annually to semiannually) would both likely have the effect of increasing the BR of the portfolio, which would increase the IR.

考点:The full fundamental law

解析:根据IR=TC×IC×BRIR=TC\times IC\times\sqrt{BR}

A,股票数量由36增加到50,因此独立预测次数变多,BR变大,导致IR变大,A错。

B,rebalance次数由一年一次变成半年一次,因此独立预测次数变多,BR变大,导致IR变大,B错。

C,增加限制条件导致TC变小,导致IR变小,C正确。

B选项是怎么影响的呢

1 个答案
已采纳答案

星星_品职助教 · 2021年03月11日

同学你好,

你问的问题在答案解析里是有讲解的。截图如下:

不确定你的问题到底是什么,如果是答案解析没有看懂,可以继续评论或者追问。

再次强调一下,对于这种有明确解析的题目,一定要标出来具体是哪里看不懂,不然助教是不知道回答的方向的。

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