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chiara9009 · 2023年07月07日

未提及预测频率的话，是否默认证券数即为年化预测数？

  1. CFA II
  2. Portfolio

NO.PZ2015121810000023

问题如下：

Manager 1 has an information coefficient of 0.15, a transfer coefficient of 1.0, and invests in 50 securities. Manager 2 has a different strategy, investing in more securities, but is subject to investment constraints that reduce his transfer coefficient. Manager 2 has an information coefficient of 0.10, a transfer coefficient of 0.8, and invests in 100 securities. The investment selections of each manager are independent decisions. If both managers target an active risk of 5.0%, which manager will have the greater expected active return?

选项：

A.

Manager 1

B.

Manager 2

C.

Both managers will have the same active return.

解释：

A is correct.

Manager 1’s IR=TC×IC×BR=1.0×0.15×50=1.06IR=TC\times IC\times\sqrt{BR}=1.0\times0.15\times\sqrt{50}=1.06.Manager 2’s IR=0.8×0.1×100=0.8IR=0.8\times0.1\times\sqrt{100}=0.8. Manager 1’s active return is 1.06(5.0) = 5.3% and Manager 2’s expected active return is 0.80(5.0) = 4.0%. Manager 1 has the greater expected active return. 

考点： The Fundamental Law of Active Management

解析：两个基金经理有相同的active risk目标，要比较哪个有更大的active return，就是比较哪个基金经理的information ratio更大。

根据IR=TC×IC×BRIR=TC\times IC\times\sqrt{BR}，分别IR为1.06，0.8，因此Manager 1的IR更大，active return也就更大。

题目中关于BR的信息如下：The investment selections of each manager are independent decision，未提及预测频率，是否直接默认为一年预测一次？

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星星_品职助教 · 2023年07月07日

同学你好，

在“independent decision”的前提下，预测次数（BR）就是securities的数量。本题中即为Manager 1的BR=50，Manager 2的BR=100.

这是因为每次都是独立预测，所以manager选中一只股票，就相当于预测了一次，选几只股票就相当于独立预测了几次。

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NO.PZ2015121810000023问题如下Manager 1 hinformation coefficient of 0.15, a transfer coefficient of 1.0, aninvests in 50 securities. Manager 2 ha fferent strategy, investing in more securities, but is subjeto investment constraints threhis transfer coefficient. Manager 2 hinformation coefficient of 0.10, a transfer coefficient of 0.8, aninvests in 100 securities. The investment selections of eamanager are inpennt cisions. If both managers target active risk of 5.0%, whimanager will have the greater expecteactive return? A.Manager 1B.Manager 2C.Both managers will have the same active return.A is correct.Manager 1’s IR=TC×IC×BR=1.0×0.15×50=1.06IR=TC\times IC\times\sqrt{BR}=1.0\times0.15\times\sqrt{50}=1.06IR=TC×IC×BR​=1.0×0.15×50​=1.06.Manager 2’s IR=0.8×0.1×100=0.8IR=0.8\times0.1\times\sqrt{100}=0.8IR=0.8×0.1×100​=0.8. Manager 1’s active return is 1.06(5.0) = 5.3% anManager 2’s expecteactive return is 0.80(5.0) = 4.0%. Manager 1 hthe greater expecteactive return. 考点 The FunmentLof Active Management解析两个基金经理有相同的active risk目标，要比较哪个有更大的active return，就是比较哪个基金经理的information ratio更大。根据IR=TC×IC×BRIR=TC\times IC\times\sqrt{BR}IR=TC×IC×BR​，分别IR为1.06，0.8，因此Manager 1的IR更大，active return也就更大。如果BR足够大，比如1000，那和投资inx,benchmark 差不多了,感觉和 IR 代表主动管理能力有矛盾，是我哪里理解错了吗

2023-10-19 13:03 1 · 回答

BR不应该是预测portfolio整体的次数吗？而不是有多少内部证券的预测。一个Portforlio中有50只证券，独立预测portfolio一次算作一个BR。这道题理解下来是BR缺失的，尽管第二个基金比第一个基金单券数量高。

2020-03-29 21:26 1 · 回答

老师，因为manager2是投constraine，所以收益率会低一些，可以从这个角度考虑吗？

2020-03-15 21:06 1 · 回答

请问，这个公式IR=TC×IC×BR，在哪里讲解的？是什么意思？ ​

2020-02-16 23:50 1 · 回答