investment manager level return - two different definitions
Page 90 Schweser Book 5:
R_IM = sum sum (w_i) (w_i,j)(R_i,j - R_B,i))
where
R_i,j = return for manager j’s portfolio in category i
R_B,j = return on the bench for asset category i
Then on Page 93 Schweser Book 5:
R_IM = sum sum (w_i)(w_i,j) (R_A,i,j - R_B,i,j)
where
R_A,i,j = return for manager j’s portfolio in category within category i
R_B,i,j = return for manager j’s benchmark in asset category i
The two definition R_B,j and R_B,i,j doesn’t match up. The first one implies subtracting the benchmark return in category i. The second definition implies subtracting the benchmark return in category i, manager j.
Which is the correct way to calculating the value of active management? |
发表于 2013-4-1 14:13
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