标题: True Active Risk [打印本页] 作者: willsucceed 时间: 2011-7-11 20:06 标题: True Active Risk
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.作者: PalacioHill 时间: 2011-7-11 20:06
true active risk = [total active risk ^2 - misfit active risk ^2]^.5作者: dyga 时间: 2011-7-11 20:06
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.作者: bkballa 时间: 2011-7-11 20:06
I stand corrected.... just re-checked the book. sorry.
Ignore my previous post. L3Aspirant's right.作者: strikethree 时间: 2011-7-11 20:06
Thank you , I also think leve3aspirant is right but needed to check with someone
