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Portfolio Management
Portfolio Management
Hard
A quantitative fund has an information coefficient (IC) of 0.03, makes 500 independent bets per year, and operates under constraints that give it a transfer coefficient (TC) of 0.60. The fund's expected information ratio is closest to:
A
0.40
B
0.67
C
0.02
D
1.34
Select an answer to continue
Tags
#fundamental-law
#information-ratio
#transfer-coefficient
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CFA Level II — Portfolio Management Practice Question | AcadiFi | AcadiFi