treynor and black are not being kind to me at all… can some please show me how to get the weight of the active portfolio in the optimal risk portfolio???
use both 08 and 07 schweser notes, they are much differ int he PM section but cover the same thing
are you talking about the mix of portfolio M and A? it depends on the investor’s risk tolerance. it’s the sharpe ratio. if you’re walking about the assets within portfolio A… for a portfolio of two assets 1, 2: w1 = [(alpha1)/(variance of error 1)]/total w2 = [(alpha2)/(variance of error 2)]/total where total = w1 = (alpha1)/(variance of error 1) + (alpha2)/(variance of error 2)
shoot i made a mistake ^^ (that’s what i get for copying and pasting) total = (alpha1)/(variance of error 1) + (alpha2)/(variance of error 2)
Just use the CFAI texts for it, and do the examples / practice questions, if you have a good grasp on the general basics you’ll be fine. I think alot of people on the forum are blowing a basic / minor concept that may not even be on the exam out of proportion. You will not fail soley because of Treynor Black, don’t spend an inordinate amount of time on it.
monki, slash, black swan thank all you lovely folks for the responses was looking at it during one of my prime times…but i guess i am just fatigued i seem to have lost momentum… thanks once again lovely pals
grace grace, Joey’s post is the best source in plain english: http://www.analystforum.com/phorums/read.php?12,600970,page=1 this was bumped but about 3 weeks ago, worth another look
Grace, if you haven’t seen it already, check out this explanation: http://www.analystforum.com/phorums/read.php?12,600970,page=1 It doesn’t go through the math in great detail, but it explains the concepts real well. It helped me understand the background and concepts of T-B. BTW, according to my Stalla Lecture Notes on Treynor-Black Model it reads, “The CFA Institute reading includes a note that candidates are not responsible for deriving or memorizing the extensive formulas in this reading section!”. Does this mean we don’t need to memorize optimal weighting formulas, appraisal ration, etc?
Regarding the 1 question there is on the TB in the CFAI texts, have you guys seen how unrelated it is to the actual material in the text?
“I think alot of people on the forum are blowing a basic / minor concept that may not even be on the exam out of proportion. You will not fail soley because of Treynor Black, don’t spend an inordinate amount of time on it.” For someone whose screen name is Black Swan, you sure are making some nonBlackSwan statements. Furthermore, tell this to the people from last year.
caspian Wrote: ------------------------------------------------------- > “I think alot of people on the forum are blowing a > basic / minor concept that may not even be on the > exam out of proportion. You will not fail soley > because of Treynor Black, don’t spend an > inordinate amount of time on it.” > > For someone whose screen name is Black Swan, you > sure are making some nonBlackSwan statements. > > Furthermore, tell this to the people from last > year. You’re wrong. As I stated, YOU WILL NOT FAIL SOLEY BECAUSE OF TREYNOR BLACK, which was ONE vinette last year. Read each word in the quote carefully. It is 100% correct, and I will tell it to anyone last year with confidence. Saying you failed because of Treynor Black is like saying your basketball team lost the game because a teammate missed a last second foul shot. What both statements do is ignore the other 95% of the game/test that preceded that event. From what I hear, if you were familiar with TB the questions weren’t even beyond basic. Secondly, my advice was DON"T SPEND AND INORDINATE AMOUNT OF TIME ON IT. Innordinate meaning disproportionate in comparison to any other section. If you spend an inordinate amount of time on it which would suggest it is to the detriment of studying other topics, you are gambling on last year’s content indicating this year’s content, which is often not the case and is assigning a predictave quality to information which may not have any real correlation, THAT would be unblackswan like. There have been just as many theories that it won’t be tested this year for the same reasons as people say it will. Equally weighting the expectations, the ending result is…wait for it…spend a PROPORTIONATE amount of time on it. In case you’re wondering, I used caps, because apparently you did not read my words closely the first time.
i think Black Swan is right. It’s important to look at each topic in the context of the exam. Our strength is not knowing which topics will be tested but being comfortable with most concepts, their relationships with each other and solving most typical problems.