标题: True active risk [打印本页] 作者: Palantir 时间: 2011-7-13 16:39 标题: True active risk
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?作者: mik82 时间: 2011-7-13 16:39
total active risk = sqrt (true active risk^2 + misfit active risk^2)作者: cityboy 时间: 2011-7-13 16:39
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?作者: pennyless 时间: 2011-7-13 16:39
active risk of individual securities makes no sense...this is total portfolio作者: Colum 时间: 2011-7-13 16:39
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作者: dyga 时间: 2011-7-13 16:39
right ... those are still manager's portfolios being weighted...the material never references active risk of individual securities作者: former 时间: 2011-7-13 16:39
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作者: wake2000 时间: 2011-7-13 16:39
Was going through the text last night, though it only applied to the active portion of the portfolio, and not the passive?
