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标题: information ratio Level II note6 P232 [打印本页]

作者: fionaqian 时间: 2014-5-20 19:15 标题: information ratio Level II note6 P232

Example: Combined information ratio
Dharmesh Thakur, equity analyst with Gupta Asset Management, currently follows
100 stocks and makes quarterly forecasts. Thakur's information coefficient is 0.05.
1. Compute Thakur's information ratio.
2. IfThakur chooses to follow an additional 100 stocks (with quarterly forecasts) but
with an information coefficient of 0.04, what will be Thakur's new information
ratio?
Answer:
1. Thakur's current breadth = 400. Current information ratio= 0.05 x .J400 = 1.00
2. New information ratio = [l2+ (0.04)2(400)]1'2 = 1.28

第二问题follow额外100stocks, 为何breadth还是400而不是800？

作者: pangofu 时间: 2014-5-21 10:15

第一题直接套用公式IR=IC*BR(1/2)就行了。
第二题用的是“Additivity Principle”，就在这一题的上面，用两组不同分析的IR来推算出combined IR。这里很明显新增的那100个stocks和原来的那100个stocks是有差别的，因为一个IR为0.04，而原来的是0.05，所以用New IR2=IR（a）2+IR（b）2这个公式来算。
先后的各100个stocks不能混在一起看待。

作者: fionaqian 时间: 2014-5-21 13:49

回复 2# pangofu

i c. 谢谢啦！

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