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无敌混世小魔球 · 2021年12月19日

限制short position不是影响TC，从而影响IR吗

  1. CFA III
  2. Equity

NO.PZ2019012201000034

问题如下：

The information ratio (IR) is defined as the ratio of active return to active risk. The fund manager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there may be limitations that prevent manager from keeping the IR unchanged. Which of the following is considered as a constraint?

选项：

A.

Investment policy allows short positions.

B.

Limited diversification opportunities.

C.

Investment policy restricts maximum position sizes.

解释：

C is correct.

考点： Determining the Appropriate Level of Risk

解析：如果策略限制最大的头寸，基金经理可能无法按比例调整其主动风险,因此策略对头寸规模进行限制是一个限制因素。

为啥A不对呀，限制short position不是影响TC，从而影响IR吗

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已采纳答案

笛子_品职助教 · 2021年12月20日

嗨，从没放弃的小努力你好：


这个问题其实是阅读理解，也就是要读懂这道题目。对知识点的掌握是没问题的。


看题目的问题，Which of the following is considered as a constraint?


注意constraint这个单词，限制，也就是哪个因素会限制基金经理的业绩。


正确的说法是，限制做空，会影响TC，会对基金经理业绩造成负面影响。


但是A的说法是，允许做空，会对基金经理业绩造成负面影响，这就说反了。允许做空，会提高TC，进而提高IR，允许做空是有利因素，不是限制（constraint）因素。

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