Benchmark quality return, position, positive, quality

ASSet_MANagemen

CTA loves BEER.

1, systematic Bias is low: historical beta is close to 1.

* rho(P,B)=1; rho(A,S)=0; rho(S, P-M) is positive, where rho is correlation; P is the portfolio return, B is benchmark return; M is the market return; A is the active return(P-b).

2. tracking Error is low.

3. Coverage is high.

4. Turnover is low.

5. positive Active position(positive active weight).



Edited 1 time(s). Last edit at Sunday, May 29, 2011 at 01:45PM by deriv108.

nannan66

isn't style (B - M)
i remember it b/c of badgely mischka. granted, most of you are men here so this probably isn't as good a tool to remember. but eff, am i wrong?

mik82

Style is Manager Benchmark - Investor Benchmark. = Style or Misfit Active.

True Active is Manager portfolio - Manager Benchmark.

ll11

ok, we're cool. I denote B as manager's benchmark, M as overall Mkt benchmark, P as portfolio.
so S = B - M
and A = P - B
i feel like active/misfit risk q's are always tested, be it AM or PM. they'll show up.

lcw77

S is Bowel Movement.

Chuckrox

or level 3 BladeMaster for all Frozen Throne fans out there



Edited 1 time(s). Last edit at Sunday, May 29, 2011 at 01:58PM by pimpineasy.

Roflnadal

hahah like my type 1 errors- keep the sh*t in.
really this whole test could be learned while thinking about poop.
pinkman would like that. he's big into that and manscaping.

bpdulog

bannisja Wrote:
-------------------------------------------------------
> hahah like my type 1 errors- keep the sh*t in.
> really this whole test could be learned while
> thinking about poop.
> pinkman would like that. he's big into that and
> manscaping.

I like that one.