True active risk anything, remember, active, search

Palantir

Went to search, but couldn't find anything. Does anyone remember if the formula square root active risk squared * weight squared and them summed throughout the rest is the portfolio active risk? or is that the same true active risk that you get from total risk/misfit risk formula?

mik82

total active risk = sqrt (true active risk^2 + misfit active risk^2)

cityboy

sqrt[(p-s)sqrd + (s-b)sqrd]

lcai

hmm.. maybe it was given the active risk of individual securities in a portfolio, how do you calculate the active risk of the total portfolio?

pennyless

active risk of individual securities makes no sense...this is total portfolio

Colum

thems Wrote:
-------------------------------------------------------
> active risk of individual securities makes no
> sense...this is total portfolio

It does make sense if your talking about the risk of your satellite active managers in a core-satellite approach. See reading 32.

active risk = sqrt( (w1^2 * std dev1 ^ 2) + (w2^2 * std dev2 ^ 2) + ...)
where
w1 = weight of active manager 1
std dev1 = std dev of active manager 1
and so on

dyga

right ... those are still manager's portfolios being weighted...the material never references active risk of individual securities

former

ahh exactly what I was looking for. Thx Lobster

LobsterBoy Wrote:
-------------------------------------------------------
> thems Wrote:
> --------------------------------------------------
> -----
> > active risk of individual securities makes no
> > sense...this is total portfolio
>
> It does make sense if your talking about the risk
> of your satellite active managers in a
> core-satellite approach. See reading 32.
>
> active risk = sqrt( (w1^2 * std dev1 ^ 2) + (w2^2
> * std dev2 ^ 2) + ...)
> where
> w1 = weight of active manager 1
> std dev1 = std dev of active manager 1
> and so on

wake2000

Was going through the text last night, though it only applied to the active portion of the portfolio, and not the passive?