NO.PZ2018091701000030
问题如下:
Which manager has greatest skill at achieving active returns?
选项: Manager 2
Manager 3
C.Manager 1
解释:
B is correct.
考点:IR是唯一一个可以衡量基金经理主动管理能力的指标
解析:分别计算三个经理的IR,选最大的。
Manager 1:IR=0.78*0.15*√24=0.57
Manager 2:IR=0.89*0.18*√66=1.3
Manager 3: IR=0.67*0.26*√86=1.62
老师 这道题,他这个问法如何理解比较好? 我会以为他让求的是Expected return?
“Which manager has greatest skill at achieving active returns? ”