标题: active management [打印本页] 作者: Dapper425 时间: 2011-7-11 19:14 标题: active management
Which of the following equity strategies would provide the highest expected active return?
A) Active.
B) Enhanced indexing.
C) Risk-controlled active management.
Your answer: B was incorrect. The correct answer was A) Active.
i thought studies have generally shown that active management generally underperforms indexing strategies作者: mar350 时间: 2011-7-11 19:14
It's asking the highest expected active return (not risk-adjusted).
Curious, are B) and C) the same thing? Any difference?作者: oneboy 时间: 2011-7-11 19:14
You are right, empirically. But 'expected' active return will be highest for active... IMHO作者: wake2000 时间: 2011-7-11 19:14
I think this is the relatioship, please confirm:
ACTIVE RETURN: highest for active, then enhanced index, then pure index (zero active return)
INFORMATION RATIO: highest for enhanced indexing, then active, then passive.作者: Roflnadal 时间: 2011-7-11 19:14
markCFAIL Wrote:
-------------------------------------------------------
> I think this is the relatioship, please confirm:
>
> ACTIVE RETURN: highest for active, then enhanced
> index, then pure index (zero active return)
>
> INFORMATION RATIO: highest for enhanced indexing,
> then active, then passive.
Yes.
Active strategy will always produce the greatest active return because the manager doesn't care about the benchmark. Active strategies are based on market expectations.
