Portfolio Management

CFA Level II
#1

Make sure you know the formula for:

  1. Sharpe

  2. Information Ratio

  3. Unconstrained portfolio optima active risk

  4. Sharpe ratio of a portfolio comprised of an optimal proportion of benchmark portfolio and active portfolio

  5. Information coefficient of a market timer

did a miss anything?

#2

  1. (Rp - Rf) / Std§

  2. (Rp - Rb) / active risk

  3. IRp/SRb * Std(b)

  4. Sqrt(SR^2 + TC*IR^2)

  5. 2(%correct) - 1

How did i go?

Now one for you:

Whats the BR given the number of decisions and the correlation?

#3

BR = number of decisions / [(1 + (number of decisions - 1) x correl]

I would also throw in the calculation for the breakdown of active return = factor return + security selection

#4

Expected return for the basic and full law.