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Basic Question 0 of 5
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 used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
describe and compare macroeconomic factor models, fundamental factor models, and statistical factor models;
CFA® 2025 Level II Curriculum, Volume 5, Module 40.