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Basic Question 0 of 13
In the "Global Equity Strategy" example, the transfer coefficient, information coefficient, and breadth are assumed to be 0.982, 0.1, and 27.0, respectively. The United Kingdom is expected to have a strong outperformance (2.0) and its active return volatility is calculated as 5.8%. What is its expected active return?
B. 1.2%
C. 2.9%
A. 5.8%
B. 1.2%
C. 2.9%
User Contributed Comments 2
| User | Comment |
|---|---|
| davidt87 | why did they even give us that equation in the previous section? where is this equation coming from? |
| CFAJ | the "score" is basically how much it outperforms the outperform in proportion to the portfolio return? |
I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
compare theories of commodity futures returns;
describe, calculate, and interpret the components of total return for a fully collateralized commodity futures contract;
contrast roll return in markets in contango and markets in backwardation;
CFA® 2025 Level II Curriculum, Volume 5, Module 33.