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benchmark

  1. David Harper CFA FRM

    P2.T9.21.1. Factor regression and style analysis

    Learning outcomes: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those factors...
  2. Nicole Seaman

    P2.T9.20.5. The low-risk anomaly of asset returns

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha and describe characteristics of an effective benchmark to measure alpha...
  3. Nicole Seaman

    P2.T10.20.7. Beyond LIBOR

    Learning objectives: Describe the features comprising an ideal benchmark. Examine the issues that led to the replacement of LIBOR as the reference rate. Examine the risks inherent in basing risk-free rates (RFR’s) on transactions in the repo market Questions: 20.7.1. According to the Bank for...
  4. Nicole Seaman

    P2.T8.705. Berkshire Hathaway versus its benchmark (Ang)

    Learning objectives: Describe Grinold’s fundamental law of active management, including its assumptions and limitations, and calculate the information ratio using this law. Apply a factor regression to construct a benchmark with multiple factors, measure a portfolio’s sensitivity to those...
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