问一道题：NO.PZ2015121810000018 [ CFA II ]

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的，但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的Sharpe ratio也是接近的。Statement III描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的active risk接近于0。Statement II，因为IR=active return/active risk，而closet inx funactiver return和active risk都接近于0，如果active risk远小于activer return，那么IR就可能是非常大的数值。 而一旦active return management fee，那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 No.PZ2015121810000018 (选择题)来源: 原版书analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low.您的回答正确答案是: BA不正确Statement IBStatement IICStatement III数据统计(全部)做对次数: 2560做错次数: 2105正确率: 54.88%数据统计(个人)做对次数: 0做错次数: 1正确率: 0.00%解析B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的，但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的Sharpe ratio也是接近的。Statement III描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的active risk接近于0。Statement II，因为IR=active return/active risk，而closet inx funactiver return和active risk都接近于0，如果active risk远小于activer return，那么IR就可能是非常大的数值。 而一旦active return management fee，那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。sharpe ratio 不是跟active无关吗？为什么可以通过看shape ratio判断是不是active的策略？

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的，但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的Sharpe ratio也是接近的。Statement III描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的active risk接近于0。Statement II，因为IR=active return/active risk，而closet inx funactiver return和active risk都接近于0，如果active risk远小于activer return，那么IR就可能是非常大的数值。 而一旦active return management fee，那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 active risk 怎么算的，讲义里面哪里有说到

NO.PZ2015121810000018 问题如下 analyst is given the following information about a portfolio anits benchmark. In particular, the analyst is concerneththe portfolio is a closet inx fun1 The T-bill return chosen to represent the risk-free rate is 0.50%.Whiof the following three statements es not justify your belief ththe portfolio is a closet inx?I. The Sharpe ratio of the portfolio is close to the Sharpe ratio of the benchmark.II. The information ratio of the portfolio is relatively small.III. The active risk of the portfolio is very low. A.Statement I B.Statement II C.Statement III B is correct.A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees.考点 closet inx fun析 closet inx fun称自己是积极主动管理的，但投资的股票、股票的权重都与benchmark非常接近。Statement I 描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的Sharpe ratio也是接近的。Statement III描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的active risk接近于0。Statement II，因为IR=active return/active risk，而closet inx funactiver return和active risk都接近于0，如果active risk远小于activer return，那么IR就可能是非常大的数值。 而一旦active return management fee，那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。 请问图表里 portfolio active risk anactive return 指的是portfolio和谁的active risk/return呢？ 还是说这只是个干扰项?

NO.PZ2015121810000018 老师，statement2 我是这么判断的，Portfolio sharpe ratio的平方=information ratio的平方+benchmark sharpe ratio的平方。 从题中已知的portffolio 和 benchmark的Sharpe ratio来看，确实很接近啊，所以information ratio就relatively small了。所以我判断statement2是正确的。 请问这个思路为什么不对呢？

NO.PZ2015121810000018 Statement II Statement III B is correct. A closet inx will have a very low active risk anwill also have a Sharpe ratio very close to the benchmark. Therefore, Statements I anIII are consistent with a closet inx portfolio. A closet inx’s information ratio cinterminate (because the active risk is so low), anoften negative e to management fees. 考点 closet inx fun解析 closet inx fun称自己是积极主动管理的，但投资的股票、股票的权重都与benchmark非常接近。 Statement I 描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的Sharpe ratio也是接近的。 Statement III描述正确，因为投资的股票和股票的权重与benchmark接近，因此计算得出的active risk接近于0。 Statement II，因为IR=active return/active risk，而closet inx funactiver return和active risk都接近于0，如果active risk远小于activer return，那么IR就可能是非常大的数值。  而一旦active return<management fee，那么closet inx funIR还有可能出现负数。所以IR结果如何是无法确定的。不是很理解这道题的考点 可以把三个statement都一下吗