NO.PZ202301280200000201
问题如下:
Which portfolio manager is most likely exhibiting illusion of control bias?
选项:
A.Manager 1
Manager 2
Manager 3
解释:
The illusion of control is the tendency to overestimate one’s ability to control events that may lead to more frequent trading, greater concentration of portfolio positions, or a greater willingness to employ tactical shifts in their asset allocation. As an institutional money manager, Manager 1 may believe he has better information about the return prospects for his investment selections than what is reflected in the market. While the other two managers may hold the same belief, Manager 1’s portfolio has the greatest concentration of portfolio positions relative to the other two managers. Manager 1 is also significantly overweight in equities versus the benchmark (75% versus 60%) compared to the other two managers. Manager 1 has an active share of 0.75, making his current allocation significantly different from the benchmark. Finally, the lower turnover ratio relative to the other managers may be an indication of Manager 1’s overconfidence in his investment decisions.
本题解析是从concentration角度出发的那么选择1
但是illusion of control有一种表现是excessive and frequent trading.turnover ratio越高表明更喜欢TAA,本题1反而相反。而解析又说,换手率低,是因为他自信当前的偏离。请问这两个角度矛盾的时候,以哪个为准