Treynor--very quick

CFA Level II
#1

Take passive index fund, find a few mispriced securities, create an active portfolio, allocate active with passive to create optimal, then add rfr to create your new portfolio. more rfr to risk averse investors and more optimal portfolio to less risk averse investors. assuming that is right, my question is: in the active portfolio, is it the passive index fund plus the mispriced securities? or is it JUST mispriced securities? thanks

#2

Passive index is just the passive market index fund (mispriced securities go to active portfolio)

#3

optimal portfolio = passive index fund + mispriced securities optimal + rfr = treynor-black jizz

#4

i know–what about the components of the active portfolio? is it just the mispriced securities? say the passive is the s&p500, and you find 7 mispriced seucrities. your passive = 500 your active = 7 and your optimal you a weighted mix am i correct on this?

#5

correct

#6

thanks swaption

#7

Don’t mind my asking Swaption but are you a CFA charterholder or do you do Super Memory/ Harry Loryane stuff? Are you in the 95 band?

#8

I do Super Hairy Loryane Memory in the 96th wave and can vouch for Swaption.