optimal weight ratio

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

optimal weight ratio

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

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

Re: optimal weight ratio

Hi Amit,

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

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

Re: optimal weight ratio

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

Amit,

Please type the full question.
I don't understand the question.

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

Re: optimal weight ratio

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

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

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

Re: optimal weight ratio

example of pristine mind map.