4. Fischer runs a long-only equity strategy following 500 stocks per quarter, with an information coefficient of 0.05 and a transfer coefficient of 30%. Myron is considering starting up an asset allocation strategy. He appears to have an information coefficient of 0.08, and plans to invest long-short, and only in asset classes with liquid futures contracts. That way he expects to achieve a transfer coefficient of 95%. Into how many asset classes must he invest quarterly to match Fischer's information ratio?

4. Fischer runs a long-only equity strategy following 500 stocks per quarter, with an information coefficient of 0.05 and a transfer coefficient of 30%. Myron is considering starting up an asset allocation strategy. He appears to have an information coefficient of 0.08, and plans to invest long-short, and only in asset classes with liquid futures contracts. That way he expects to achieve a transfer coefficient of 95%. Into how many asset classes must he invest quarterly to match Fischer's information ratio?

Brief Principles of Macroeconomics (MindTap Course List)

8th Edition

ISBN:9781337091985

Author:N. Gregory Mankiw

Publisher:N. Gregory Mankiw

Chapter9: The Basic Tools Of Finance

Section: Chapter Questions

Problem 6CQQ

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