…the spot return and the roll return.
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Expected Active Return = (IC)√BR(Active Return Target) IC = Information Coefficient BR = Breadth
No change in the PBO Lower Pension Expense This applies to U.S. GAAP only.
non-normal and generally exhibit negative skewness and positive excess kurtosis.
Selection Bias Survivorship Bias Backfill (or instant history) Bias
equity dividend rate = (NOI – debt service) / equity
…pension benefit obligation PBO
…is the discount rate.