NO.PZ202304060100011302
问题如下:
Suppose all three managers claim to be efficient in portfolio construction. According to the full fundamental law of active management, which manager is the best at building to make full use of their ability to correctly anticipate returns?
选项:
A.Manager 1
Manager 2
Manager 3
解释:
The proper statistic to calculate is the transfer coefficient and it is defined as follows:
\[\text{TC = COR(}{{{\mu }_{i}}}/{{{\sigma }_{i}}}\;\text{,}\Delta {{\text{w}}_{i}}{{\sigma }_{i}}\text{)}\]
The TC is the cross-sectional correlation between the forecasted active security returns and the actual active weights, adjusted for risk.
The three managers have the following TCs:
Manager 2 has the highest TC.
这个题中的 building to make full use of their ability to correctly anticipate returns 指的是TC 实现程度,可以理解
后面经典题第9题,“the greatest skill at achieving active return” 我理解也是TC, 但是答案对应的是IR,我不太理解,这两个不是一个意思吗?