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  1. K

    Grinold, Chapter 14: Portfolio Construction

    Hi David, Page 5 of Chapter 14: Portfolio Construction (Grinold) states the following Consider for instance, an Information Coefficient (IC) of 0.05 and a typical residual risk (volatility) of 30 percent would lead to an alpha scale of 1.5 percent (0.05 x 0.3 = 1.5%). In this case, the mean...
  2. K

    IC reduction in Grinold

    Hi @David Harper CFA FRM CIPM This is probably a trivial question. In the notes to Grinold (and in the reading itself) about Alpha scaling it states: ...the original alphas have a standard deviation of 2.00 percent and the modified alphas have a standard deviation of 0.57 percent. This...
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    Refining Alphas - Scaling and Trimming Alpas - AIM 53.2

    Hi David. Could you please explain the process of Scaling and Trimming alphas (in the Topic - Grinold & Kahn. Chapter 16 - Refining Alphas - Scaling and Trimming Alpas - AIM 53.2) 1) how do i interpret this formula for scaling : Alpha = (Volatility) x (Information coefficient) x (Score)...
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    GARP.FRM.PQ.P2 Important Difference in Information Ratio Formula (garp16-p2-72)

    Dear David, I’ve had some confusion, misunderstanding and doubts when doing 09 Level I Annotated Boot Camp. Appreciate your kind help on this! I’ve noticed an important difference between you and FRM handbook with respect to calculating information ratio: in all your practice...
  5. S

    Question on 8-a-1 Grinold setup.xls

    Hi David, I was referring to the formula on slide 4 and 5 for the total risk and then to the formula used in the excel sheet 8-a-1 in C15 for the total risk. The formula there is "=C2+C6+C11+C13", should it not be "=1+C2+C6+C11+C13" Thanks, Sudeep Manchanda
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    Hi David, I have a question A portfolio underperformed its benchmark by 2%.what can we say about alpha ? a. alpha is -2% b.alpha is definitely negative c.alpha can be positive or negative answer given is c . I can guess it to be c but can I have a more intuitive explanation from you...