王同學(xué)
2019-01-25 13:29Reading50里面的EXAMPLE 9的問(wèn)題2的解答沒(méi)有看懂。 題目是Suppose the investor predicts Assets #1 and #2 to outperform and that Assets #3 and #4 will underperform. Conceptually speaking (i.e., exact numbers are not necessary), how will these scores affect the information coefficient in the fundamental law compared with a prediction that Assets #1 and #3 will outperform and Assets #2 and #4 will underperform? 解答是According to the risk model, the active returns to Assets #1 and #2 tend to move together, so a forecast that both will outperform is not as ambitious as a forecast that one will outperform while the other underperforms. As a result, the information coefficient will be adjusted downward by more under the first set of forecasts than under the second set of forecasts. 我不明白的問(wèn)題有兩個(gè)：第一，為什么IC會(huì)be adjusted downward；第二，為什么ambitious的IC大，不ambitious的IC小？謝謝老師
所屬：CFA Level II > Portfolio Management 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Bingo助教
2019-01-25 15:55
該回答已被題主采納
同學(xué)你好。Information Coefficient表示預(yù)測(cè)能力。1號(hào)和2號(hào)是正相關(guān)的，這兩個(gè)和3、4都不相干；而3和4是有相關(guān)性的。
現(xiàn)在A(yíng)預(yù)測(cè)：1和2表現(xiàn)好，3和4表現(xiàn)不好；
B預(yù)測(cè)：1和3表現(xiàn)好，2和4表現(xiàn)不好。
那么你會(huì)覺(jué)得誰(shuí)更厲害呢？
會(huì)覺(jué)得第二個(gè)人更厲害吧，因?yàn)?和3 correlation是0，而1和2本就是正相關(guān)的。所以第一個(gè)人對(duì)應(yīng)的IC應(yīng)該adjust downward，否則的話(huà)，他對(duì)應(yīng)的IR就被高估了。
a forecast that both will outperform is not as ambitious as a forecast that one will outperform while the other underperforms這句話(huà)就是說(shuō)，A的預(yù)測(cè)，不像B那么有雄心。就好比，一個(gè)學(xué)生每次都考年級(jí)第一，我預(yù)測(cè)他下次還考年級(jí)第一；另一名學(xué)生，一直倒數(shù)第一，但是我預(yù)測(cè)他下次考試考年級(jí)第一，相比之下，后者的預(yù)測(cè)更有雄心。
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