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...
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...
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)...
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...
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...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.