Consider a fund tracking the market that is perfectly correlated with the market. The fund charges a fee of 90 basis points, therefore its expected
Consider a fund tracking the market that is perfectly correlated with the market. The fund charges a fee of 90 basis points, therefore its expected return equals E(rM)-f, where E(rM) is the return on the market and f is the charged fee. Both the fund and the market have the same volatility. What is the alpha of the fund?
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Authors: Marsh, Lee Shaiman, Bridget Marsh
2nd Edition
1264258526, 978-1264258529
