a portfolio actively or passively managed judged by 1-R^2 ? What is the criteria (%) for actively or passively managed ? Can style fit or drift be judged by 1-R^2 ? Or it can be judged only by Sharpe Style weight ?
subjective… (1-R^2) >= 15: active (1-R^2) < 5: inactive Between 5%-15%? hard to say. By the way, the error term is the manager’s selection return.
Is there an AF consensus on what constitutes Active management for (1 - R^2)? In Reading 32 CFAI (pg 232); 8.1% was considered active management I wrote the Schweser Live Mock yesterday and the answer key said 7% was passive, I am not to sure I agree. What are your thoughts?
Is there any chance someone could upload this exam to a site like megaupload? I’ve been wanting to do the question on the soccer player’s IPS for a while now 