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005 · 2023年08月06日

本题请老师详细解答下

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NO.PZ202206140600000604

问题如下:

The benchmark is best described as appropriate if the correlation mentioned by Godwin is not statistically significantly:

选项:

A.positive. B.negative. C.different from zero.

解释:

Solution

C is correct. The correlation that Godwin mentions is between active management return and style return. Measuring this correlation identifies whether the manager’s active selection decisions, A, align with the style currently favored by the market, S. An appropriate benchmark should not reflect these systematic biases, so the correlation between A and S should not be statistically different from zero.

A and B are incorrect. The relevant correlation between A and S should not be statistically different from zero.

本题请老师详细解答下

1 个答案
已采纳答案

吴昊_品职助教 · 2023年08月07日

嗨,爱思考的PZer你好:


大原则是一个好的benchmark,意味着A和S的相关系数为0。这道题有点拗口,但我们原则一定要掌握。

现在说A and S should not be statistically different from zero,not different from zero,不能不同于0,即为0。双重否定,就是肯定,也就是表达相关系数为0。所以选C。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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