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KIC000040 - What if the manager follows a dynamic portfolio...

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What if the manager follows a dynamic portfolio strategy? With changing portfolio composition, the son of constant portfolio mean return, etc. is clearly V I D . The evaluation methodology would need to keep track of portfolio composition and changes in mean return and standard deviation of return. A primary example is when a manager is actively trying to time the market, purposely increasing or decreasing the beta. • In this case, the covariance with the market, the standard deviation, and the expected return change over time by design. " Could partition the data into different ~ods " However, this reduces the amount of available in any given sub-period. Performance Attribution • For example, suppose you consider a "balanced" or "neutral" asset allocation to be one invested 60% in equities, 30% in fixed income securities, and 10% in money market funds. Any deviation .from this strategy would be considered an attempt to±l()')(l;. the market. • Furthermore, you feel that the S&P500 is an appropriate benchmark
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