问题如下图：
选项：
A. 
B. 
C. 
解释：
您好！
我觉得这道题应该是求TC而不是IC呀 不是building portfolio（delta wi）和预期mu之间的corr吗。
谢谢
NO.PZ2015121810000021 Manager 2 Manager 3 C is correct. The proper statistic to calculate is the information coefficient, anit is finefollows: IC=COR(RAiσi,μiσi)IC=COR(\frac{R_{Ai}}{\sigma_i},\frac{\mu_i}{\sigma_i})IC=COR(σiRAi,σiμi) A manager is a gooforecaster if his or her ex-ante active return expectations (forecasts) are highly correlatewith the realizeactive returns. The information coefficient requires ththese forecasts anrealizereturns risk-weighte When this is ne for the three managers, the risk weighteforecasts anrealizereturns are: The Iare founcalculating the correlations between eamanager’s forecasts anthe realizerisk-weightereturns. The three managers have the following ICs: Manager 3 hthe highest I考点: The FunmentLof Active Management 解析三个基金经理都声称自己擅于预测收益率，而题目问哪个基金经理预测未来收益率能力最强，因此衡量指标是IC，也就是调整风险后的forecasteactive returns与realizeactive returns之间的相关性。IC越大，预测能力越强。 计算公式为 IC=COR(RAiσi,μiσi)IC=COR(\frac{R_{Ai}}{\sigma_i},\frac{\mu_i}{\sigma_i})IC=COR(σiRAi,σiμi) 。如英文答案中的表格所示，首先计算Risk-weighteforecasts return和Risk-weighterealizereturn，然后使用计算器求correlation 以Manager 1为例 首先清除历史记录【2n【7】【2n【CLR WORK】 依次输入两组数据X01=0.176【↓】Y01=0.353【↓】X02=0.400【↓】Y02=0.700【↓】X03=0.417【↓】Y03=0.333【↓】X04=0.240【↓】Y04=0.080 求出相关性系数【2n【8】一直按向下的箭头，直到出现r，r=0.5317。（与英文答案略有差异，是保留小数点的误差。） 请问前面的权重不管了吗？
NO.PZ2015121810000021 C is correct. The proper statistic to calculate is the information coefficient, anit is finefollows: {$table2} A manager is a gooforecaster if his or her ex-ante active return expectations (forecasts) are highly correlatewith the realizeactive returns. The information coefficient requires ththese forecasts anrealizereturns risk-weighte When this is ne for the three managers, the risk weighteforecasts anrealizereturns are: {$table3} The Iare founcalculating the correlations between eamanager’s forecasts anthe realizerisk-weightereturns. The three managers have the following ICs: {$table4} Manager 3 hthe highest IC 我看到是这样的，没有table显示
NO.PZ2015121810000021 X01=0.176【↓】Y01=0.353【↓】X02=0.400【↓】Y02=0.700【↓】X03=0.417【↓】Y03=0.333【↓】X04=0.240【↓】Y04=0.080 老师，这一排数字怎么来的额？
NO.PZ2015121810000021 老师好 如果这题C 算出的correlation = -0.67 的话， 还是选C 吗？ 负的话说明是 负相关，也就是说这经理越策能力很差。忘记比较CORR是比绝对值还是不是， 感觉应该不是比较绝对值，但想确认一下。谢谢。
按题目的意思，这是在说组合的建立与预期收益率之间的关系吧？应该是TC啊。 并不是预测超额收益率与实际超额收益率之间的关系啊
