Risk policies for active asset managers

Recently in the asset management community, there has been a lot of attention given to techniques for estimating risk indicators. The authors’ focus is on the use of risk indicators, that is, they concentrate on risk policies rather than on estimation techniques. The aim of this paper is to assess, from an empirical point of […]

Are asset managers properly using tracking error estimates?

In the investment community, tracking error is often regarded as the single most important risk measure, and many active asset management companies use tracking error as a basis for keeping a portfolio’s relative risk under control. Recently, the investment community has become aware of some shortfalls of tracking error. One of the main pitfalls is […]