题目
Instead of residual-based information ratio (IR), it is also acceptable to compute information ratio (IR) based on active returns. The following table displays twelve (12) months of returns comparing a portfolio (P) to its benchmark (B); the final column shows the difference each month:「huixue_img/importSubject/1564170578401824768.png」
The final two rows show the average and sample standard deviation of the monthly return statistics. Which is nearest to the annualized ex-post (active-based) information ratio (IR)?
选项
A.0.404
B.0.651
C.0.950
D.1.237
答案
B
解析
具体计算过程如下： Annualized ex post (active based) IR=(0.0044×12)/(0.0234×√12)=0.65137