Wendy_品职助教 · 2019年05月20日
•Active return (value added)：RA =RP –RB
•Active risk: standard deviation of active returns. (tracking error, or tracking risk)
Active risk= s(Rp – RB)
•Active weight：Δwi = w(P,i )– w(B,i) The sum of the active weights is zero
active weight是比例，active return是收益，active risk是标准差。
