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Evelynislost · 2023年11月05日

关于 TC IR 表述问题的名词判断

* 问题详情,请 查看题干

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

B.

Manager 2

C.

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?

1 个答案
已采纳答案

星星_品职助教 · 2023年11月05日

同学你好,,

TC是基金经理(可以按照自己想法)构建组合的能力。本题选择TC的原因是题干描述的“... claim to be efficient in portfolio construction”

IR描述的是基金经理通过主动管理投资组合,从而获得持续的active return的能力。即主动管理能力,也就是“skill at achieving active return”