factor-regression

  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...
    • David Harper CFA FRM
    • Thread
    • benchmark factor-regression grinolds-fundamental-law-of-active-management information-ratio style-analysis time-varying-factor-exposures
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. 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...
    • Nicole Seaman
    • Thread
    • alpha ang benchmark berkshire-hathaway factor-regression grinolds-fundamental-law-of-active-management information-ratio
    • Replies: 3
    • Forum: FRM® Practice Questions
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