NO.PZ2018091701000114
问题如下:
Consider a active management strategies: individual stock selection with a benchmark composed of 100 securities, IC = 0.05.
The active security returns are uncorrelated, and forecasts are independent from year to year.
The breadth of this active management strategy is closest to:
选项:
A.
100
B.
5
C.
0.05
解释:
A is correct.
Given that the active asset returns in strategy are uncorrelated, and forecasts are independent from year to year, the breadth of the strategy is BR = 100
没懂这题解题思路…………