We had one portfolio that excess return of about 3.7% i think and then there were a couple of benchmarks that had no correlation but a standard deviation of excess return of about 5% or so as I recall. We were seeking some total risk. What strategies did you use to fine the total active risk here? Probably something simple but I could not get my arms around it.
r total = square root(r misfit ^2+ r true ^2)
So i guess the answer was 9 or so. I think the choices were 4 6 and 9.
i got it, but it seemed odd to me,. basically went with only so many things you can do with these #'s… then it made more sense after i calc’d it.
so it’s 6 or 9? I choose 9 but it seems 6 is correct. anyone?
I think it was 6.4%
8.7 was if you used a weighted like you do with active return. With active risk you must use the square root which leads to the B answer, 6-something sounds familiar.
Yes. I got 6.4% too. I don’t think you should weight this.
i also got 6.4%
I went for 6.4%. Thought it over few times before marking
I calculated 6,4 - but i am not sure the method was correct