Style analysis uses a multiple regression model where the factors are category (style) portfolios such as bills,
Question:
Style analysis uses a multiple regression model where the factors are category (style) portfolios such as bills, bonds, and stocks. The coefficients on the style portfolios indicate a passive strategy that would match the risk exposures of the managed portfolio. The return difference between the managed portfolio and the matching portfolio measures performance relative to similar-style funds.
.P-96
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
Question Posted: