Normal portfolio

Sch book 5, LOS 34 f, Pg 74

Dear all,

The last para in the page says,

‘The benchmark portfolio (i.e., the normal portfolio) is the portfolio with exposures to the systematic risk factors that are typical for the investment manager’.

Can anyone please tell me if the normal portfolio as mentioned above is discussed anywhere in the LIII curriculum or narrowly anywhere else in book 5 both withinthe context and on a different context.

Thank you

In a similar context it is discussed in Equity PM SS11 a few times. Cheers

I didnt see this Normal portfolio being discussed anywhere else mate.

fixed income and equity book, pg 191 3rd paragraph from the top

“The large cap value index and small cap value index held in weights of 0.75 and 0.25 respectively would constitute a natural benchmark for this portfolio - given the overall fit of the model was excellent. Such a benchmark is sometimes referred to as normal portfolio or normal benchmark for the manager. As defined in the reading on Performance evaluation - a normal portfolio is a portfolio with exposure to sources of systematic risk that are typical for a manager using the manager’s past portfolios as a guide. A manager’s normal portfolio or normal benchmark in effect represents the universe of securities from which a manager might normally select securities for his portfolio.”.

Pretty much the same thing is stated in the Performance evaluation reading Pg 140 (middle of page).