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,
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This note was uploaded on 09/07/2011 for the course FINANCE 320 taught by Professor Sapp during the Fall '10 term at Iowa State.

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

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