b为什么不对

问题如下：

Two analysts make the following statements about the transfer coefficient in the expanded fundamental law of active management:

Analyst One says, “The transfer coefficient measures how well the realized returns correlate with the anticipated returns, adjusted for risk.”

Analyst Two says, “The transfer coefficient measures how well the realized returns correlate with the active weights, adjusted for risk.”

Which, if either, analyst is correct?

选项：

A.

Only Analyst One is correct.

B.

Only Analyst Two is correct.

C.Neither analyst is correct.

解释：

C is correct.

The transfer coefficient measures how well the anticipated (ex ante), risk-adjusted returns correlate with the risk-adjusted active weights. This is also expressed in the equation for the transfer coefficient:

TC = ρ(μi/σi,Δwiσi).

考点：The Fundamental Law of Active Management

解析： Analyst One 错， 衡量forecasted active returns与realized active returns相关性的是information coefficient, 而不是transfer coefficient。

Analyst Two 错，transfer coefficient衡量的是forecasted active returns与 active weights的相关性，而不是realized active returns。