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- 2011-7-11
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- 2013-8-22
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14#
发表于 2013-4-19 16:44
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I guess this just got more complex for me. “if we reduce” is the big problem. Are we forcing it to reduce or is it happening by itself.
For all those who say that reducing active risk will lead to reduction in active return is not making sense. Active risk is the variablity of active return. What if the manager consistently earns the same alpha. As in there is a good active return but if the alpha is either positive or negative and constant, the active risk can be 0 as well though this is unlikely to happen. So If we reduce one manager’s active risk with no change in other manager’s active risks, isn’t the overall variability likely to be lower than before. |
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