问一道题：NO.PZ2018091701000112

问题如下：

Manager 1 has an information coefficient of 0.15, a transfer coefficient of 1.0, and invests in 50 securities.

Manager 2 has an information coefficient of 0.10, a transfer coefficient of 0.8, and invests in 100 securities.

The investment selections of each manager are independent decisions.

If both managers target an active risk of 5.0%, which manager will have the greater expected active return?

选项：

Manager 1

Manager 2

Both managers will have the same active return.

解释：

Correct Answer: A

Manager 1’s IR=TC*IC*BR^1/2=1.06，Manager 1’s active return is 1.06(5.0) = 5.3%

Manager 2’s IR=TC*IC*BR^1/2=0.80，Manager 2’s expected active return is 0.80(5.0) = 4.0%.

Manager 1 has the greater expected active return.