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willsucceed

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tT
发表于 2011-7-11 20:06 | 只看该作者

True Active Risk

difference, active, between
How do u calculate true active risk? Is it the difference between Total Active Risk and Misfit Active Risk? or do I need to square each term and than take a square root? Thanks.
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PalacioHill

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2#
发表于 2011-7-11 20:06 | 只看该作者
true active risk = [total active risk ^2 - misfit active risk ^2]^.5

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dyga

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3#
发表于 2011-7-11 20:06 | 只看该作者
I think it's the root of -

[(std dev, manager's returns)^2 - (std dev, normal benchmark returns)^2]

Same idea as tracking risk. Not 100% sure because the book is vague.

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bkballa

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4#
发表于 2011-7-11 20:06 | 只看该作者
I stand corrected.... just re-checked the book. sorry.

Ignore my previous post. L3Aspirant's right.

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strikethree

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5#
发表于 2011-7-11 20:06 | 只看该作者
Thank you , I also think leve3aspirant is right but needed to check with someone

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