Question #8
Reading: Reading 40 Analysis of Active Portfolio Management
PDF File: Reading 40 Analysis of Active Portfolio Management.pdf
Page: 3
Status: Unattempted
Correct Answer: B
Question
Which of the following terms is the cross-sectional correlation between forecasted active returns and actual active weights adjusted for risk?
Answer Choices:
A. Breadth
B. Transfer Coefficient
C. Information Coefficient
Explanation
Transfer coefficient = TC = CORR (μi/σi, Δ wiσi)