Question #38
Reading: Reading 40 Analysis of Active Portfolio Management
PDF File: Reading 40 Analysis of Active Portfolio Management.pdf
Page: 16
Status: Incorrect
Correct Answer: A
Your Answer: B
Question
An active manager has an information coefficient of 0.08, transfer coefficient of 0.50, and makes 100 independent bets per year. What is the expected active return for an active risk constraint of 5%?
Answer Choices:
A. 2.4%
B. 2.0%
C. 1.8%
Explanation
√BR