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Manager 1 has an information coefficient of 0.15, a transfer coefficient of 1.2 and invests in 36 securities. Manager 2 has an information coefficient of
Manager 1 has an information coefficient of 0.15, a transfer coefficient of 1.2 and invests in 36 securities. Manager 2 has an information coefficient of 0.13, a transfer coefficient of 1.0 and invests in 64 securities. Assume that both managers target an active risk of 4.0%, which manager will receive a greater expected active return? Show how you worked your solution.
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