衡量风险为什么用T E

NO.PZ2016071602000005

问题如下：

Your firm hired Vikram Mehra as an active manager for its pension fund. His benchmark is the Russell 2000 growth index. Which of the following statistics are most suitable to evaluating Vikram's performance and risk?

选项：

VAR and Sharpe ratio

Tracking error and information ratio

Tracking error and Sharpe ratio

VAR and information ratio

解释：

B is correct. Because the active manager is compared to a benchmark, your firm should use relative performance measures (i.e., tracking error volatility and the information ratio).

IR作为衡量基金经理表现的指标可以理解，题目问表现与风险，那么跟踪误差为什么可以表示风险呢？我和benchmark有误差意味着我有风险？

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李坏_品职助教 · 2022年02月21日

嗨，从没放弃的小努力你好：

题干说的是active manager，也就是主动策略型的基金经理。主动策略的基金经理的业绩是要去和benchmark对比的，重点是考察其是否跑赢了benchmark。对active manager来说，跟踪benchmark的差异的波动，是风险的主要来源。可以看一下基础班讲义P16：

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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NO.PZ2016071602000005问题如下Your firm hireVikrMehra active manager for its pension fun His benchmark is the Russell 2000 growth inx. Whiof the following statistiare most suitable to evaluating Vikram's performananrisk? A.VanSharpe ratio B.Tracking error aninformation ratio C.Tracking error anSharpe ratio Vaninformation ratioB is correct. Because the active manager is compareto a benchmark, your firm shouluse relative performanmeasures (i.e., tracking error volatility anthe information ratio).Tracking Error不是用来衡量被动投资的吗？

2022-03-30 05:03 1 · 回答

如果有BENCHMARK就不适合用VAR来衡量风险？TEV是IR里面的项，也能用来单独衡量风险？

2018-02-15 19:22 1 · 回答

衡量风险为什么用T E

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