optimal weight ratio

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

optimal weight ratio

Postby AMITAG1990 » Sat Nov 03, 2012 9:26 pm

Determine optimal weight ratio
T.E vol ratio IR
Manager A 5% 0.70
Manager B 5% 0.5
Benchmark 0 0
Portfolio 3% 0.82

Please explain ans.

Tags:

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: optimal weight ratio

Postby content.pristine » Tue Nov 06, 2012 1:50 pm

Hi Amit,

Can you type out the full answer?
I'm afraid, I cannot understand it..

8-)

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

Re: optimal weight ratio

Postby AMITAG1990 » Tue Nov 06, 2012 2:29 pm

ans is A=51% B=37% Benchmark=12% But I have a doubt on this ans..

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: optimal weight ratio

Postby content.pristine » Thu Nov 08, 2012 1:30 pm

Amit,

Please type the full question.
I don't understand the question.
8-)

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

Re: optimal weight ratio

Postby AMITAG1990 » Thu Nov 08, 2012 3:38 pm

Determine optimal weight

Manager A, T.E vol ratio= 5% IR= 0.70
Manager B T.E vol ratio= 5% IR= 0.50
Benchmark T.E vol ratio= 0% IR= 0.0
Portfolio T.E vol ratio= 3% IR= 0.82

only this is given..

content.pristine
Finance Junkie
Posts: 356
Joined: Wed Apr 11, 2012 11:26 am

Re: optimal weight ratio

Postby content.pristine » Fri Nov 09, 2012 5:43 pm

This looks like its a question on the Treynor Black Method.
What is the source of this question?
8-)

AMITAG1990
Finance Junkie
Posts: 89
Joined: Sat Sep 22, 2012 12:35 pm

Re: optimal weight ratio

Postby AMITAG1990 » Fri Nov 09, 2012 5:48 pm

example of pristine mind map.


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