Hello,
My question relates to Portfolio Management, Reading 54 - Analysis of Active Portfolio Management ; EOC 14 and 15.
Basically, looking a the correction of those 2 quesiton, we have to calculate IC in question 14 and TC in question 15.
IC=COR(RAiσi,μiσi)
IC = COR(R/σi,u/σi)
TC = ρ(μi / σi, Δwiσi)
OK fine I get the idea. Now, how do you actually calculate the correlation? The examples dont give the detail. They just show 2 tables with values for R/SD,u/SD and u/SD,Active weight x SD.
Now what do I do with that please? How do I actually get the COR?
Thanks a lot for your help.
My question relates to Portfolio Management, Reading 54 - Analysis of Active Portfolio Management ; EOC 14 and 15.
Basically, looking a the correction of those 2 quesiton, we have to calculate IC in question 14 and TC in question 15.
IC=COR(RAiσi,μiσi)
IC = COR(R/σi,u/σi)
TC = ρ(μi / σi, Δwiσi)
OK fine I get the idea. Now, how do you actually calculate the correlation? The examples dont give the detail. They just show 2 tables with values for R/SD,u/SD and u/SD,Active weight x SD.
Now what do I do with that please? How do I actually get the COR?
Thanks a lot for your help.