NO.PZ2018091701000042
问题如下:
An analyst makes two conclusions about full fundamental law of active management:
Conclusion one: The information coefficient describes how the realized returns correlate with the active weights.
Conclusion two: The transfer coefficient describes how the realized returns correlate with the forecasted active return.
Which of the following statement is correct?
选项:
A.Conclusion one is correct.
B.Conclusion two correct.
C.Neither conclusion is correct.
解释:
C is correct.
考点:考察full fundamental law 里面每一个变量的含义。
解析:IC是衡量基金经理讲话的靠谱程度,也就是他预测的和他真正能实现的之间的关系
TC是衡量基金经理能实现的程度,也就是他是否收到仓位的限制,比如是否能做空,是否可以举杠杆,是否可以用衍生品管理风险等等。
这道题如果题干的IC、TC调换一下是对的吗?