Benchmark quality return, position, positive, quality

ASSet_MANagemen

CTA loves BEER.

1, systematic Bias is low: historical beta is close to 1.

* rho(P,B)=1; rho(A,S)=0; rho(S, P-M) is positive, where rho is correlation; P is the portfolio return, B is benchmark return; M is the market return; A is the active return(P-b).

2. tracking Error is low.

3. Coverage is high.

4. Turnover is low.

5. positive Active position(positive active weight).



Edited 1 time(s). Last edit at Sunday, May 29, 2011 at 01:45PM by deriv108.