NO.PZ2023040601000017
问题如下：
Wilson explains that the information ratio of the endowment’s domestic equity portfolio is used to measure its performance. She states, “The information ratio is simply the ratio of the active return of the portfolio divided by the tracking error of its return, with both components measured relative to the performance of the agreed-on benchmark. The active return is the sum of each factor return multiplied by the difference between the portfolio’s sensitivity to that factor and the benchmark’s sensitivity. The tracking error is the standard deviation of active returns over time and can be decomposed into the total factor risk and the active specific risk.”
In her description of how the endowment portfolio’s performance is measured, Wilson is least likely accurate regarding the:
选项：
A.tracking error
information ratio.
active return.
解释：
The active return consists of two parts: (1) the sum of each factor return multiplied by the difference between the portfolio’s sensitivity to that factor and the benchmark’s sensitivity and (2) the active return resulting from security selection. Wilson did not include the effect of security selection.
这个图是讲的Value Added计算的三种方法，那方法二(Asset Allocation)不就是题目中说的 “the sum of each factor return multiplied by the difference between the portfolio’s sensitivity to that factor and the benchmark’s sensitivity.”？
Value Added的拆解是分成两部分，这前后两个RA是一个东西对吧?
烦请老师解答以上两个问题
