What does that imply about the managers factor forecasts

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Reference no: EM13925481

In an earnings-to-price tilt fund, the portfolio holdings consist (approximately) of the benchmark plus a multiplec times the earnings-to-price factor portfolio (which has unit exposure to earnings-to- price and zero exposure to all other factors). Thus, the tilt fund manager has an active exposure c to earnings-to-price. If the manager uses a constant multiple c over time, what does that imply about the manager's factor forecasts for earnings-to-price?

Reference no: EM13925481

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