标题: Reading 55: Treynor-Black Model example pp. 468-471 [打印本页] 作者: Dapper425 时间: 2013-5-9 22:27 标题: Reading 55: Treynor-Black Model example pp. 468-471
I found the lead-up to this example somewhat difficult, so I went straight to the example.
Early in the example, they calculate a ‘quick’ Sharpe ratio for the DPF portfolio, including the broad market and 3 individual stocks. But there is no weighting applied. I would expect that you must first get the security weights for the portfolio, and then calculate the Sharpe ratio.
They used equation 10, which also has no weights. It seems that this equation would hold only if the security weights are equal.
Am I missing something?作者: kd26gioi 时间: 2013-5-9 22:28
I havent learnt these formulas also as its not mentioned in LOS作者: tarunajwani 时间: 2013-5-9 22:30
Cinderella plz tell a way to remember these formulas作者: LPoulin133 时间: 2013-5-9 22:31
I watched the Elan lecture for it over the weekend. It’s all pretty intuitive and the video does a great job I think.作者: sabre 时间: 2013-5-9 22:32
This is an example of material that if you want to study it at all, you basically have to put it into Excel.
EOC #1 is essentially a verbatim of the example in the text, except with 4 securities in the active portfolio instead of 3. #2 you can do by copying #1 and deleting rows from the data table where the portfolio weights are negative. It’s hard for me to see how these are feasible to learn without putting them in Excel.
