how to know the portfolio got mifit risk if the exam question didn’t give normal bench mark portfolio return and index return.
for example, the completeness fund got misfit risk, how to identify and why it got misfit risk?
how to know the portfolio got mifit risk if the exam question didn’t give normal bench mark portfolio return and index return.
for example, the completeness fund got misfit risk, how to identify and why it got misfit risk?
Returns are not needed to calculate misfit risk.
Active risk= (true active risk^2+Misfit risk^2)^(1/2).
If you are given active risk and true active risks. The use the formula.
no, such data is not given, we need to make conclusion based on common knowledge
isn’t B-M the mistfit risk?
Benchmark - Market = Style return
True Return = Actual Ret - benchmark
Misfit Return = benchmark - investor’s benchmark