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,
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