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ZAA · 2021年03月12日

能解释一下AB吗

NO.PZ2018091701000113

问题如下:

Caramel Associates uses the fundamental law to estimate its expected active returns. Two things have changed.

First, Caramel will lower its estimate of the information coefficient because they felt their prior estimates reflected overconfidence.

Second, their major clients have relaxed several constraints on their portfolios, including social screens, prohibitions on short selling, and constraints on turnover.

Which of these changes will increase the expected active return?

选项:

A.

Only the lower information coefficient.

B.

Only the relaxation of several portfolio constraints.

C.

Both the lower information coefficient and the relaxation of portfolio constraints.

解释:

放宽投资组合约束会增加TC,进而增加 expected active return

较低的IR会降低 IC,进而降低 expected active return

因此选项B正确。

没明白是什么考点

1 个答案

星星_品职助教 · 2021年03月12日

同学你好,

本题考察full fundamental law,公式为:IR=IC×TC×√BR

“expected active return”是IR的分子,所以在分母active return不变的情况下,IR越大,“expected active return”越大。

A选项中“ lower” information coefficient是IC降低,这会导致IR降低,说反了;

B选项中“relaxation” of several portfolio constraints是TC上升,这使得IR上升,符合条件;所以选择B选项即可。


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