NO.PZ202207040100001002
问题如下:
Which of Parker’s statements about Manager B in Exhibit 1 is most appropriate? The statement about:选项:
A.tracking errors. B.excess return. C.currency overlays.解释:
SolutionB is correct. The comment about excess return being luck rather than skill is correct. Replication managers attempt to create a portfolio that tracks the performance and the volatility of the underlying index as closely as possible. The proper measure of skill is the tracking error: Manager B has the highest tracking error among the three managers.
A is incorrect. Tracking error does not measure volatility of the portfolio; rather, it measures the volatility of the excess return between the index and the portfolio.
C is incorrect. A currency overlay assists a portfolio manager in hedging (not levering) the returns of securities that are held in foreign currency back to the home country’s currency.
为什么high tracking error不能说明market volatile,而是excess return comes from luck not skills?