Chartered Financial Analyst Level 2
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A portfolio manager is backtesting a multifactor investment strategy and performs additional sensitivity analyses using two Monte Carlo simulations with different factor return assumptions:
- Simulation 1: Multivariate normal distribution
- Simulation 2: Multivariate Student's-t-distribution
In comparison to Simulation 2, Simulation 1 most likely:
A portfolio manager is backtesting a multifactor investment strategy and performs additional sensitivity analyses using two Monte Carlo simulations with different factor return assumptions:
- Simulation 1: Multivariate normal distribution
- Simulation 2: Multivariate Student's-t-distribution
In comparison to Simulation 2, Simulation 1 most likely:
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