pruteus

misfit returns是通过total active return - true active return算出来的，但不是具体值。我们可以算出每个的true active return, 随便假设一个investor's benchmark, 那么misft returns就可以表示成一个数字减去investor's benchmark的形式。答案选Manager C。

pruteus

normal portfolio returns are just the individual manager's benchmark returns.

pruteus

题目给了manager's returns (A, B, C)，也给了manager's benchmark return (AB, BB，CB)（normal portfolio return）, 但没给investor's benchmark return (用字母M表示）.那么Misfit Returns就是 A - M - AB = (A-AB)-M。这样就可以比较了。

pruteus

QUOTE:

以下是引用nzharbinger在2009-6-12 14:59:00的发言：

 

如果按照你的假设 misfit return= normal portfolio return-investor benchmark return = AB-M 但你说 "Misfit Returns就是 A - M - AB "

 

那这样的话 AB-M=A-M-AB ？

刚才写错了，应该是A-M-(A-AB)=AB－Ｍ。ＡＢ，ＢＢ，ＣＢ都知道吗，ＡＢ－Ｍ、ＢＢ－Ｍ，ＣＢ－Ｍ就可比了

pruteus

QUOTE:

以下是引用nzharbinger在2009-6-12 14:59:00的发言：

 

如果按照你的假设 misfit return= normal portfolio return-investor benchmark return = AB-M 但你说 "Misfit Returns就是 A - M - AB "

 

那这样的话 AB-M=A-M-AB ？

其实这么简单，考试的时候还绕了半天想明白，现在再作还是饶弯子了。

pruteus

回：206楼

 

M是Investor的Benchmark Return，一个Investor投在所有Managers上，但investor自己只有一个benchmark return，所以M对三个人都一样。

pruteus

Manager C has the highest Misfit active return.

pruteus

QUOTE:

以下是引用nzharbinger在2009-6-13 8:06:00的发言：

 

我了解了，如果real interest rate一样，但nominal interest rate跌了，那currency就涨，因为inflation跌了。但这题inflation is stable，nominal interest rate跌了，说明real interest rate确实跌了，currency就应该跌。但你单单从nominal interest rate跌了这一个条件就能判断currency跌吗？必须由inflation and norminal interest rate。所以试题答案是不是有错阿

The question there is from which one we could conclude the currency change. Therefore answer is definitely not inflation as this indicator itself could not tell anything coz it's stable. Answer must be an indicator changed during this peroid.

 

I don't remeber what the third choice was. But the understanding is if short term rate picks up, economy is entering the stage of expansion. Inflation is associated with economic expansion. Currency depreciation should be explained this way. Also, for developed economies, expansion is usually triggered by currency depreciation, benefiting exports.