开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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

添加评论
1 个答案
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。

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 1

    关注

  • 578

    浏览
相关问题

NO.PZ2019012201000034问题如下The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint?A.Investment poliallows short positions.Limiteversification opportunities. C.Investment polirestricts maximum position sizes.C is correct.考点 termining 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。可以这样理解吗题目关注的点是information ratio所以选implementation constraints C；如果题目关注的点是sharpe ratio就会需要选择versification opportunities B？谢谢老师！

2024-04-08 20:12 1 · 回答

NO.PZ2019012201000034 问题如下 The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint? A.Investment poliallows short positions. Limiteversification opportunities. C.Investment polirestricts maximum position sizes. C is correct.考点 termining 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。 如题，请问这道题B为什么不对？

2024-04-06 04:52 1 · 回答

NO.PZ2019012201000034 问题如下 The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint? A.Investment poliallows short positions. Limiteversification opportunities. C.Investment polirestricts maximum position sizes. C is correct.考点 termining 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。 如果是根据排除法（能不能看看这个思路对不对）讲义: Portfolios with high absolute risk targets falimiteversification opportunities whimleto a crease in the SR.- B排除IR=active return/active risk=IC*TC*sqrt(BR), restriction on position size- TC can't increase- IR can't increase (no change), not a constraint to keep IR unchange C排除

2024-03-17 00:35 1 · 回答

NO.PZ2019012201000034问题如下The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint?A.Investment poliallows short positions.Limiteversification opportunities. C.Investment polirestricts maximum position sizes.C is correct.考点 termining 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。B是SR的，怎么理解这句话

2024-02-25 19:03 1 · 回答

NO.PZ2019012201000034 问题如下 The information ratio (IR) is finethe ratio of active return to active risk. The funmanager aims to scale up active return linearly with active risk, while maintaining the same information ratio. However, there mlimitations thprevent manager from keeping the IR unchange Whiof the following is consirea constraint? A.Investment poliallows short positions. Limiteversification opportunities. C.Investment polirestricts maximum position sizes. C is correct.考点 termining 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。 当限制position size时，TC会变小，于是E（Ra)会变小，active risk不变的情况下，IR也会变小。代入上文提到的公式，TC变小-Ea变小，为什么active risk不变IR变小

2023-04-27 13:51 2 · 回答