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Issac · 2021年05月14日

英文答案看不到

NO.PZ2015121810000021

问题如下:

You are analyzing three investment managers for a new mandate. The table below provides the managers’ ex-ante active return expectations and portfolio weights. The last two columns include the risk and the ex-post, realized active returns for the four stocks. Use the following data for the following two questions:

Suppose all three managers claim to be good at forecasting returns. According to the full fundamental law of active management, which manager is the best at efficiently building portfolios by anticipating future returns?

选项:

A.

Manager 1

B.

Manager 2

C.

Manager 3

解释:

C is correct.

The proper statistic to calculate is the information coefficient, and it is defined as follows:

{$table2}

A manager is a good forecaster if his or her ex-ante active return expectations (forecasts) are highly correlated with the realized active returns. The information coefficient requires that these forecasts and realized returns be risk-weighted. When this is done for the three managers, the risk weighted forecasts and realized returns are:

{$table3}

The ICs are found by calculating the correlations between each manager’s forecasts and the realized risk-weighted returns. The three managers have the following ICs:

{$table4}

Manager 3 has the highest IC.

考点: The Fundamental Law of 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forecasted active returns与realized active 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}) 。如英文答案中的表格所示,首先计算Risk-weighted forecasts return和Risk-weighted realized return,然后使用计算器求correlation:

以Manager 1为例:

首先清除历史记录【2nd】【7】【2nd】【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:【2nd】【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。)

C is correct.

The proper statistic to calculate is the information coefficient, and it is defined as follows:

{$table2}

A manager is a good forecaster if his or her ex-ante active return expectations (forecasts) are highly correlated with the realized active returns. The information coefficient requires that these forecasts and realized returns be risk-weighted. When this is done for the three managers, the risk weighted forecasts and realized returns are:

{$table3}

The ICs are found by calculating the correlations between each manager’s forecasts and the realized risk-weighted returns. The three managers have the following ICs:

{$table4}

Manager 3 has the highest IC


我看到是这样的,没有table显示

1 个答案

星星_品职助教 · 2021年05月14日

同学你好,

这道题的表格如下:

也可以参考原版书R47 Q14。

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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(σi​RAi​​,σi​μi​​) 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(σi​RAi​​,σi​μi​​) 。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?

2021-07-04 11:38 1 · 回答

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?

2021-04-28 19:40 1 · 回答

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。

2021-04-05 14:37 1 · 回答

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

2020-06-29 15:43 2 · 回答