NO.PZ202304060100011301
问题如下:
Suppose all three managers claim to be good at forecasting returns. According to the full fundamental law of active management, which manager is the best at efficiently building portfolios by anticipating future returns?
选项:
A.Manager 1
Manager 2
Manager 3
解释:
The proper statistic to calculate is the information coefficient, and it is defined as follows:
\[IC=COR(\frac{{{R}_{Ai}}}{{{\sigma }_{i}}},\frac{{{\mu }_{i}}}{{{\sigma }_{i}}})\]
A manager is a good forecaster if his or her ex-ante active return expectations (forecasts) are highly correlated with the realized active returns. The information coefficient requires that these forecasts and realized returns be risk-weighted. When this is done for the three managers, the risk weighted forecasts and realized returns are:
The ICs are found by calculating the correlations between each manager’s forecasts and the realized risk-weighted returns. The three managers have the following ICs:
Manager 3 has the highest IC.
第一句虽然说IC,但题目的问题中直接问的是TC:which manager is the best at efficiently building portfolios by anticipating future returns?这里的building portfolios指的不是构建能力TC吗?我记得之前做过一道题目,讲解为出现building portfolios 关键字,所以认为是求TC的,麻烦老师解答下。