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时木 · 2020年03月04日

问一道题:NO.PZ2019012201000072 [ CFA III ]

问题如下图:

选项:

A.

B.

C.

IC 不是反映基金经理预测准确性的吗?应该是预期收益和实现收益的关系。选项C中说IC是firm return 和model factor 的关系,是不是不对呀。 解释:

3 个答案
已采纳答案

maggie_品职助教 · 2020年03月05日

嗨,从没放弃的小努力你好:


因为量化策略非常依赖模型,如果我们认为某些因子比较好可以带来更多的回报,那么我们就对这些因子建模看看是否和预期一致。IC指的是就是因子和持有期收益率之间的相关性,IC越大,说明我们看好的因子能赚钱,这个模型可以用于指导未来的投资。这也是讲义上的内容,还是建议去听下课:


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加油吧,让我们一起遇见更好的自己!


maggie_品职助教 · 2021年05月23日

嗨,从没放弃的小努力你好:


谢谢指出,我稍后看一下是怎么回事儿。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

猫猫酱 · 2021年05月22日

我觉得equity知识点练习题的排布有点问题,前面有一课也是这种情况,就是还没有讲到的内容已经出现在前面的知识点里了。

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