Tracking error is defined as
A) the difference between the returns on the overall risky portfolio versus the benchmark return
B) the variance of the return of the benchmark portfolio
C) the variance of the return difference between the portfolio and the benchmark
D) the variance of the return of the actively-managed portfolio
E) none of the above.
Correct Answer:
Verified
Q2: Alpha forecasts must be _ to account
Q2: Even low-quality forecasts have proven to be
Q3: Benchmark risk is defined as
A)the return difference
Q4: If a portfolio manager consistently obtains a
Q5: Active portfolio managers try to construct a
Q7: The _ model allows the private views
Q8: The Black-Litterman model and Treynor-Black model are
A)nice
Q10: The critical variable in the determination of
Q16: The tracking error of an optimized portfolio
Q20: The Treynor-Black model is a model that
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