-2022-07-31 21:25:09
老师,"IR is unaffected by the aggressiveness of active weights"成立的前提是否必须“unconstrained portfolio”吗?
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Essie2022-08-01 16:07:38
你好,是的。The information ratio of an unconstrained portfolio is unaffected by the aggressiveness of active weights,只有无约束投资组合的信息比率才不受主动权重激进程度的影响(激进是指ΔW上升) 。
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谢谢老师,再确认一下哈。若是constrained portfolio的话,那么其IR就会同时受到“the aggressiveness of active weights”和“the addition of cash or the use of leverage”的影响;反之unconstrained portfolio的话,其IR只会受到“the addition of cash or the use of leverage”的影响吗?
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再确认一个点哈,∆W的上升是特指benchmark权重的上升吗?
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∆W上升特指主动权重的上升,也就是说组合偏离基准的幅度更大了。
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好的,谢谢老师。∆W这个弄明白了。再确认一下对“IR”影响的因素:若是constrained portfolio的话,那么其IR就会同时受到“the aggressiveness of active weights”和“the addition of cash or the use of leverage”的影响;反之unconstrained portfolio的话,其IR只会受到“the addition of cash or the use of leverage”的影响吗?
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对的,理解正确,加油。


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