Treynor black black

BC_MBA_student

Do we need to know any of these for the test?

CFAI readings have a note at front of Assigned Reading that says "Candidates are not responsible, within Reading 67, for deriving or memorizing the formulas introduced in Sections 4-6."

What level of familiarity do we need to have with these equations?

Thank you.

tianxin

Just try to get a handle on the theoretical stuff, like how you determine portfolio weights using alpha and non-systematic risk. Know the Sharpe ratio, and why an good active manager has a steeper CAL than the market, etc.

WarrenB1

1.Know how an active portfolio is built. i.e. based on alpha and unsystematic error tradeoff.
2. Know what Information ratio is and how to calculate on an active portfolio.
3. Intercept and slope of a CAL built with Active and market portfolio.
4. How to discount alphas estimated by an analyst based on the ex-post variance of their past analysis.
5. The methodology of T-B .