NO.PZ2018091701000113
问题如下:
Caramel Associates uses the fundamental law to estimate its expected active returns. Two things have changed.
First, Caramel will lower its estimate of the information coefficient because they felt their prior estimates reflected overconfidence.
Second, their major clients have relaxed several constraints on their portfolios, including social screens, prohibitions on short selling, and constraints on turnover.
Which of these changes will increase the expected active return?
选项:
A.
Only the lower information coefficient.
B.
Only the relaxation of several portfolio constraints.
C.
Both the lower information coefficient and the relaxation of portfolio constraints.
解释:
放宽投资组合约束会增加TC,进而增加 expected active return;
较低的IR会降低 IC,进而降低 expected active return。
因此选项B正确。
没明白是什么考点