标题: Equity - Style fit and selection return [打印本页] 作者: willsucceed 时间: 2011-7-11 18:57 标题: Equity - Style fit and selection return
CFAI text very briefly mentions that
- 1 minus style fit equals selection (fraction of return unexplained by style; and
- error term in the style equation - the diff b/w the portfolio's return and a passive asset mix with the same style as the portfolio represents selction return
Is there any way to infer from the amount of the selection or style fit if the portfolio is being managed actively or not? Is there a cutoff Percentage for style which delineates active mgmt and passive?
According to the example which follows in text, 8% of selection is considered active Mgmt.
