FRM二级《投资风险管理》考前评测精选I

An analyst regresses the returns of 200 stocks against the returns of a major market index.The resulting pool of 200 alphas has a residual risk of 25%and an information coefficient of 8%.If the alphas are normally distributed with a mean of 0%,roughly how many stocks have an alpha greater than 4%or less than-4%?
 
A.8
 
B.10
 
C.16
 
D.25
 
FRM二级考试科目《投资风险管理》
 
Answer:B
 
Explanation:
 
The standard deviation(std)of the alphas=Residual Risk(volatility)*Information Coefficient(IC)=0.25*0.08=0.02.4%is twice of the standard deviation of the alphas.The alphas follow normal distribution with mean 0,so about 5%of the alphas are out of the interval[-4%,4%].The total number of stocks is 200,so roughly there are 10 alphas that are out of the range.
 
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