alpha

问题如下：

Wei Liu makes two statements about active portfolio management:

• Statement 1: The “active return” of an actively managed portfolio is the difference between the portfolio’s return and the return on the benchmark portfolio, and is equal to the managed portfolio’s alpha.
• Statement 2: The active weights are the differences in the managed portfolio’s weights and the benchmark’s weights.

选项：

A.

Only Statement 1 is correct.

B.

Only Statement 2 is correct.

C.

Both statements are correct.

解释：

Although the first part of Statement 1 is correct (active return, or value added, equals the difference between the managed portfolio return and the benchmark return), active return is not the same as alpha. In other words, RA=RP-RB, while

$\alpha_P=R_P-\beta_P{R_B}$

Statement 2 correctly defines active weights.