标题: Total Active Return [打印本页] 作者: Iginla2010 时间: 2011-7-11 20:06 标题: Total Active Return
What is this? I know true active return which is Manager's Return - Normal portfolio return
It is given in Mock 2009 - Q23作者: bpdulog 时间: 2011-7-11 20:06
can you check problem 23 in Mock 2009作者: pennyless 时间: 2011-7-11 20:06
The PM Section? I don't have a copy of it... can you email it to me and I'll look
r.a.c.hawkins at gmail.com作者: wake2000 时间: 2011-7-11 20:06
Yes, CF_AHH... is right. See page 259 of Volume4 (SS11)作者: bodhisattva 时间: 2011-7-11 20:06
And for the record... "misfit return" is a really misleading thing to call it.
It makes it sound as though the manager is a screw off, as in: "He's a misfit!"
when in reality its actually saying "This is the return you receive because of the slight differences in your benchmarks"
Dumb.作者: Iginla2011 时间: 2011-7-11 20:06
Actually you have to go in and calculate the active risk for the entire portfolio... the formula is too cumbersome to write out here but check page 158 Book 3 of the Schweser notes, it has an example of exactly this calculation.
Edit: It's not the formula that CFAHHHH gave, either... that will get you the answer to #24 but #23 is an entirely different calc.
Edited 1 time(s). Last edit at Sunday, May 30, 2010 at 12:26AM by Aimee.作者: ohai 时间: 2011-7-11 20:06
FYI
if you add those two components, you will end up with this formula:
Total active return = Manager's return - Investor's benchmark return.作者: Darien 时间: 2011-7-11 20:06
Aimee Wrote:
-------------------------------------------------------
> Actually you have to go in and calculate the
> active risk for the entire portfolio... the
> formula is too cumbersome to write out here but
> check page 158 Book 3 of the Schweser notes, it
> has an example of exactly this calculation.
>
> Edit: It's not the formula that CFAHHHH gave,
> either... that will get you the answer to #24 but
> #23 is an entirely different calc.
