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11_IR, IC and breadth
How to calculate breadth: An evolution of the fundamental law of active portfolio management
Journal of Asset Management. Grinold and Kahn's highly acclaimed fundamental law of active management has as a weak point the lack of a measurable definition of breadth. Buckle developed a more general model of active portfolio management that uses fewer assumptions than Grinold and Kahn, resulting in the generalised fundamental law of active management. This law unfortunately has quite a complex mathematical representation. By applying some of Grinold and Kahn's assumptions to this generalised law, however, one derives a semi-generalised law, which is identical in form to Grinold and Kahn's original law, but with a measurable definition of breadth. The simplicity of application of this semi-generalised law is illustrated in several worked examples.
To readers of the first edition of Active Portfolio Management, we hope this second For a discussion of their results, see Black () and Grinold ().
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