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!