Explanation:
For an active manager who is evaluated against a specific benchmark (like the Russell 2000 growth index), relative performance and relative risk measures are the most appropriate.
In contrast, VaR and Sharpe ratio are measures of absolute risk and absolute risk-adjusted return, which do not account for the specific benchmark mandate.
Ultimate access to all questions.
No comments yet.
Q.58 Excel Investment Firm recently hired an active manager for its pension fund. Her benchmark is the Russell 2000 growth index. Which of the following statistics are most suitable to evaluating the manager’s performance and risk?
A
VaR and information ratio
B
Tracking error and sharpe ratio
C
Tracking error and information ratio
D
VaR and sharpe ratio