问题如下图：
选项：
A. 
B. 
C. 
解释：
best at efficiently building不是在问谁的TC最高吗？因为TC是forecasted return的实现程度，er而IC是forecasted return的准确度。
另外COR为负的话，TC/IC最高的是选绝对值最大的吗？
Wendy_品职助教 · 2019年05月21日
本题问which manager is the best at efficiently building portfolios by anticipating future returns? 这句话的重点其实是by anticipating future returns，基金经理预测未来收益率能力，衡量指标是IC；还有另一道题问which manager is the best at building to make full use of their ability to correctly anticipate returns? 这道题问哪个基金经理能够最有效实现构建组合的想法，也就是基金经理的执行能力，衡量指标是TC；日常练习的时候遇到定性的题目，可以多读几遍题目，要熟悉协会的定性表述。再多读几遍，感受一下英文的这些表述，我们需要慢慢培养这种技能。
Wendy_品职助教 · 2019年05月20日
三个基金经理都声称自己擅于预测收益率，而题目问which manager is the best at efficiently building portfolios by anticipating future returns? 这句话的重点其实是by anticipating future returns，基金经理预测未来收益率能力，衡量指标是IC，IC越大，预测能力越强。
计算IC公式中的COR不会是负的，风险调整后的forecasted active returns与realized active returns之间的相关性，基金经理不能预测一个股票表现差，反而去买它。
NO.PZ2015121810000021 Manager 2 Manager 3 C is correct. The proper statistic to calculate is the information coefficient, anit is finefollows: IC=COR(RAiσi,μiσi)IC=COR(\frac{R_{Ai}}{\sigma_i},\frac{\mu_i}{\sigma_i})IC=COR(σiRAi,σiμi) A manager is a gooforecaster if his or her ex-ante active return expectations (forecasts) are highly correlatewith the realizeactive returns. The information coefficient requires ththese forecasts anrealizereturns risk-weighte When this is ne for the three managers, the risk weighteforecasts anrealizereturns are: The Iare founcalculating the correlations between eamanager’s forecasts anthe realizerisk-weightereturns. The three managers have the following ICs: Manager 3 hthe highest I考点: The FunmentLof Active Management 解析三个基金经理都声称自己擅于预测收益率，而题目问哪个基金经理预测未来收益率能力最强，因此衡量指标是IC，也就是调整风险后的forecasteactive returns与realizeactive returns之间的相关性。IC越大，预测能力越强。 计算公式为 IC=COR(RAiσi,μiσi)IC=COR(\frac{R_{Ai}}{\sigma_i},\frac{\mu_i}{\sigma_i})IC=COR(σiRAi,σiμi) 。如英文答案中的表格所示，首先计算Risk-weighteforecasts return和Risk-weighterealizereturn，然后使用计算器求correlation 以Manager 1为例 首先清除历史记录【2n【7】【2n【CLR WORK】 依次输入两组数据X01=0.176【↓】Y01=0.353【↓】X02=0.400【↓】Y02=0.700【↓】X03=0.417【↓】Y03=0.333【↓】X04=0.240【↓】Y04=0.080 求出相关性系数【2n【8】一直按向下的箭头，直到出现r，r=0.5317。（与英文答案略有差异，是保留小数点的误差。） 请问前面的权重不管了吗？
NO.PZ2015121810000021 C is correct. The proper statistic to calculate is the information coefficient, anit is finefollows: {$table2} A manager is a gooforecaster if his or her ex-ante active return expectations (forecasts) are highly correlatewith the realizeactive returns. The information coefficient requires ththese forecasts anrealizereturns risk-weighte When this is ne for the three managers, the risk weighteforecasts anrealizereturns are: {$table3} The Iare founcalculating the correlations between eamanager’s forecasts anthe realizerisk-weightereturns. The three managers have the following ICs: {$table4} Manager 3 hthe highest IC 我看到是这样的，没有table显示
NO.PZ2015121810000021 X01=0.176【↓】Y01=0.353【↓】X02=0.400【↓】Y02=0.700【↓】X03=0.417【↓】Y03=0.333【↓】X04=0.240【↓】Y04=0.080 老师，这一排数字怎么来的额？
NO.PZ2015121810000021 老师好 如果这题C 算出的correlation = -0.67 的话， 还是选C 吗？ 负的话说明是 负相关，也就是说这经理越策能力很差。忘记比较CORR是比绝对值还是不是， 感觉应该不是比较绝对值，但想确认一下。谢谢。
按题目的意思，这是在说组合的建立与预期收益率之间的关系吧？应该是TC啊。 并不是预测超额收益率与实际超额收益率之间的关系啊