投资组合

问题如下：

With respect to Lange’s observations concerning the limitations of the Fundamental Law of Active Management, she is most likely correct regarding:

选项：

A.Points 1 and 3. B.Points 2 and 3. C.Points 1 and 2.

解释：

A is incorrect because Lange’s statement about forecasting is incorrect. Most investors overestimate their forecasting abilities, so actual information ratios are substantially lower, not higher, than predicted.

B is incorrect because Lange’s statement about forecasting is incorrect. Most investors overestimate their forecasting abilities, so actual information ratios are substantially lower, not higher, than predicted.

C is correct. Investment decisions are not always as independent as one might assume. For example, with fixed-income portfolios, almost all bonds represent some sort of credit risk and duration risk, and thus the returns are highly correlated in subtle ways. Constraints on turnover limit using a transfer coefficient is a well-known refinement of the Fundamental Law.