Mistake -- Alternative Investments -- Page 128?

CFA Level III Portfolio Management
#1

I check errata and nothing there but I think nobody has read this section yet early.

Second paragraph says Observed CVar is greater than normal CVar when high kurtosis and negative skewness. I think this wrong and they wrote backwards. Should be Cvar obeserved < normal CVar. All of exhibit 21 confirms this – look at something like private real estate.

Thank you for help

#2

We usually view VaR and CVaR as losses, so even if the textbook showed the CVaR as a negative figure, the context of CVaR is that it is a loss number.

So when the textbook says that the observed CVaR > normal CVaR, they are referring to the magnitude (i.e. bigger losses in observed CVaR).

#3

Thank you