Shanshan
2023-05-05 11:03Which of the following three statements does NOT justify your belief that the portfolio is a closet index?1. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.2. The information ratio of the portfolio is relatively small.3. The active risk of the portfolio is very low. 原版書(shū)課后題為什么要選第二個(gè)statement？原版書(shū)上說(shuō)While there may be little active risk, the information ratio of a closet index fund will likely be close to zero or slightly negative if value added cannot overcome the management fees. 那說(shuō)明IR確實(shí)是relatively small呀？那就可以justify呀？
所屬：CFA Level II > Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Simon助教
2023-05-05 17:53
該回答已被題主采納
同學(xué)，下午好。
1. 原版書(shū)中確實(shí)有這句話(huà) While there may be little active risk, the information ratio of a closet index fund will likely be close to zero or slightly negative if value added cannot overcome the management fees. 這句話(huà)的邏輯是，主動(dòng)風(fēng)險(xiǎn)小，同時(shí)增值無(wú)法抵消管理費(fèi)，那么IR會(huì)接近0或者略微為負(fù)。從邏輯推理來(lái)看，‘主動(dòng)風(fēng)險(xiǎn)小’+‘增值無(wú)法抵消管理費(fèi)’，這兩個(gè)條件，可以推斷出‘IR會(huì)接近0或者略微為負(fù)’。但是從結(jié)論出發(fā)‘IR會(huì)接近0或者略微為負(fù)’是無(wú)法推測(cè)出條件‘主動(dòng)風(fēng)險(xiǎn)小’的。
2. 回到Statement 2，IR很小無(wú)法推出closet index。舉個(gè)例子，比如index是滬深300指數(shù)，收益率是10%，然后portfolio里就買(mǎi)了一只股票，收益率也是10%，此時(shí)IR=0，但確是主動(dòng)投資。
努力的你請(qǐng)加油喲~。祝同學(xué)順利通過(guò)考試~。
0
0
0
0
