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Show that changing the information ratio from an annualized to a monthly statistic does not improve our ability to measure investment performance. It will still require a 16-year track record to demonstrate top-quartile performance with 95 percent confidence. First calculate the standard error of a monthly IR. Second, convert a top-quartile IR of 0.5 to its monthly equivalent. Finally, calculate the required time period to achieve a t statistic of 2.
Text Book: Active PortfoliText Book: Active Portfolio Management, 2/E By Grinold.o Management, 2/E By Grinold.
Calculate the net asset value for a share of the Focus Fund at the end of Year 1, being sure to include the cash position in the net total portfolio value.
What were the results when industry risk was examined during successive time periods? Discuss the implication of these results for industry analysis.
What do the various empirical tests of the CAPM allow us to conclude? Does the selection of a proxy for the market portfolio matter?
Briefly discuss four aspects of the Otunia environment that favor investing actively and four aspects that favor indexing.
How do you determine which portfolio had the superior return and what other information do you need to decide?
What stock characteristics differentiate value-oriented and growth-oriented investment styles? What is style analysis and what does it indicate about a manager's investment performance?
Describe the difference between a price momentum strategy and an earnings momentum strategy. What are the trade-offs involved when constructing a portfolio using a full replication versus a sampling method?
Portfolio project management
Discuss the impact of substitute products on the steel industry's profitability. Why are these variables relevant for either valuation approach?
Discuss the development of exchange traded funds (ETFs) in the United States. How do these ETFs differ from conventional equity mutual funds? Please discuss what is meant by the Sharpe Ratio, the Treynor Ratio, theSortino Ratios, and Jensen'..
Explain how these two effects are measured and why their sum must equal the total value-added return for the manager.
What is the major difference in approach of international financial reporting standards and U.S. GAM' accounting? What are the advantages and disadvantages of each?
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