yes I understand this but why does the question says that returns are negatively corelated with bad times does it mean that returns on short term increases with bad times?
yes I understand this but why does the question says that returns are negatively corelated with bad times does it mean that returns on short term increases with bad times?
When we have to know about portfolio construction skill of managers then we calculate TC, and when we are asked about forecasting skills of a manager we have to calculate IC. TC is the co-relation between risk weighted return and risk adjusted weights. For security1 risk weighted return is cRead more
When we have to know about portfolio construction skill of managers then we calculate TC, and when we are asked about forecasting skills of a manager we have to calculate IC.
TC is the co-relation between risk weighted return and risk adjusted weights.
For security1 risk weighted return is calculated as .03/.17 (i.e. E(RA)/Risk) and risk adjusted weight is calculated as -0.125*0.17(i.e. ^w*risk) for manager 1.
Again this risk weighted return and risk adjusted weight is calculated for security 2,3,4 as well for manager 1
Then co-relation using calci has been calculated .
Repeat the same steps for manager2 and manager 3.
The manager having the highest co-relation has the highest portfolio construction skills measured by TC.
Similarly question can ask about forecasting skills of manager for which we have to calculate IC
which is the co-relation b/w risk weighted expected return and risk weighted actual return.
Adding cash that is keeping some idle cash in portfolio decrease the active return and thus decrease the IR Taking leverage and adding it in portfolio increase the numerator again (i.e.- active return-benchmark return) thus increases IR
Adding cash that is keeping some idle cash in portfolio decrease the active return and thus decrease the IR
Taking leverage and adding it in portfolio increase the numerator again (i.e.- active return-benchmark return)
thus increases IR
PM for Institutions(SWF)
Very nice explanation, thank you.
Very nice explanation, thank you.
See lessEconomics and investment market
yes I understand this but why does the question says that returns are negatively corelated with bad times does it mean that returns on short term increases with bad times?
yes I understand this but why does the question says that returns are negatively corelated with bad times does it mean that returns on short term increases with bad times?
See lesstime series moving average
But I haven't received it and it's in qm right?
But I haven’t received it and it’s in qm right?
See lessactive portfolio management.
When we have to know about portfolio construction skill of managers then we calculate TC, and when we are asked about forecasting skills of a manager we have to calculate IC. TC is the co-relation between risk weighted return and risk adjusted weights. For security1 risk weighted return is cRead more
When we have to know about portfolio construction skill of managers then we calculate TC, and when we are asked about forecasting skills of a manager we have to calculate IC.
TC is the co-relation between risk weighted return and risk adjusted weights.
For security1 risk weighted return is calculated as .03/.17 (i.e. E(RA)/Risk) and risk adjusted weight is calculated as -0.125*0.17(i.e. ^w*risk) for manager 1.
Again this risk weighted return and risk adjusted weight is calculated for security 2,3,4 as well for manager 1
Then co-relation using calci has been calculated .
Repeat the same steps for manager2 and manager 3.
The manager having the highest co-relation has the highest portfolio construction skills measured by TC.
Similarly question can ask about forecasting skills of manager for which we have to calculate IC
which is the co-relation b/w risk weighted expected return and risk weighted actual return.
Ethics
He did not purchase it on rumours, he was told by his portfolio manager to do so
He did not purchase it on rumours, he was told by his portfolio manager to do so
See lessInformation Ratio
Adding cash that is keeping some idle cash in portfolio decrease the active return and thus decrease the IR Taking leverage and adding it in portfolio increase the numerator again (i.e.- active return-benchmark return) thus increases IR
Adding cash that is keeping some idle cash in portfolio decrease the active return and thus decrease the IR
Taking leverage and adding it in portfolio increase the numerator again (i.e.- active return-benchmark return)
See lessthus increases IR