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我叫仙人涨 · 2022年03月13日

借不到(无法做空)的影响

NO.PZ2019012201000074

问题如下:

Ap learns thatChiyodasenko has initiated a new equity fund. It is similar to Fund 1 butscales up active risk by doubling all of the active weights relative to Fund 1.The new fund aims to scale active return linearly with active risk, butimplementation is problematic. Because of the cost and difficulty of borrowingsome securities, the new fund cannot scale up its short positions to the sameextent that it can scale up its long positions.

Relative to Fund1, Chiyodasenko’s new equity fund will most likely exhibit a lower:

选项:

A.

information ratio

B.

idiosyncratic risk

C.

collateral requirement

解释:

As the new fundscales up active risk by doubling active weights, it will face implementationconstraints that will prevent it from increasing the weights of many of itsshort positions. The information ratio (IR) is defined as the ratio of activereturn to active risk. If there were no constraints preventing the new fundfrom scaling up active weights, it could scale up active risk by scaling upactive weights, proportionally increase active return, and keep the IRunchanged. Implementation constraints experienced by the new fund, however,such as the cost and difficulty in borrowing securities to support thescaled-up short positions, will prevent the active return from proportionallyincreasing with the active risk. Therefore, the IR would most likely be lowerfor the new fund than for Fund 1. As the following chart illustrates, as activerisk is scaled up, implementation constraints create diminishing returns toscale for active returns, thereby degrading the IR.


请问一下,long position更多, 要是借不到国家进行卖空, 为什么active return变大, active risk变小呢? 我在想两个都应该是收到影响吧? 我无法借股票来做增大我的return,所以active return变小才对。 为什么active. return变大,而active risk变小呢? 谢谢老师!

1 个答案

伯恩_品职助教 · 2022年03月13日

嗨,努力学习的PZer你好:


请问一下,long position更多, 要是借不到国家进行卖空, 为什么active return变大, active risk变小呢? 我在想两个都应该是收到影响吧? 我无法借股票来做增大我的return,所以active return变小才对。 为什么active. return变大,而active risk变小呢? 谢谢老师!——同学你好,这个是不是翻译的不对,这个题说的是active risk变大啊,然后也没说activereturn变大啊

注意,第一句话说的是如果,如果就是没有。第二句话是说active return 没有随着active 一起增大。最后一句话说的是active risk放大啊



IR是active return÷active risk,现在active因为受到限制不能随着active risk的增大而增大,那么分母增大的多,所以IR减少

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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