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.
我算的是
0.0043 0.0015 0.0006 0.0038
