NO.PZ2015121810000079
问题如下：
You are analyzing three investment managers for a new mandate. The following table 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.
anticipate returns?
选项：
A.Manager 1 B.Manager 2C.Manager 3
解释：
B is correct. The proper statistic to calculate is the transfer coefficient, and it is defined as follows: TC = ρ(μi/σi,Δwiσi)
The TC is the cross-sectional correlation between the forecasted active security returns and the actual active weights, adjusted for risk.
The three managers have the following TCs:
Manager 2 has the highest TC.
考点: The Fundamental Law of Active Management
解析：三个基金经理都声称自己在构建组合时是有效的，而题目问哪个基金经理能够完全实现构建组合的想法，因此衡量指标是TC，也就是调整风险后的forecasted active returns与active weight之间的相关性。TC越大，构建组合时受到的限制越小，那么基金经理越能够实现自己的想法。
计算公式为$$\(TC=COR(\frac{\mu_i}{\sigma_i},\triangle w_i\sigma_i)\)$$。首先计算Risk-weighted forecasts return和Risk-adjusted weights，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=0.1765【↓】Y01=-0.0213【↓】X02=0.4000【↓】Y02=0.0025【↓】X03=0.4167【↓】Y03=0.0090【↓】X04=0.2400【↓】Y04=0.0063
求出相关性系数：【2nd】【8】一直按向下的箭头，直到出现r，r=0.7256。（与英文答案略有差异，是保留小数点的误差。）
问题的英文表达不是基金经理实现管理的能力的意思吗？不应该问的是ic吗？
