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I've got a problem with estimated risk index.
Well, I've got some risk index ( standard dev., tracking error, beta ) based
on historical data and the ones
based on a multifactor model. So the values are different, obviously,
because of the different way they are
build.
So, me and portfolio managers have to use both estimate for the work.
How can I link historical and forecast values?
If track.err(forecast) = 2.5% and track.err(hist.data) = 4%,
what does it mean?
And if the next month: track.err(forecast) = 4% and track.err(hist.data) =
4%,
are portfolio managers taking too much risk or not? What's the value I've to
look at for managing
portfolio?
Do you know some mathematical, statistical way to put together historical
and forecasts values? or
in other words, to start from risk index based on historical data and obtain
(approximately) the one
forecast by a multifactor model?
I thank you all in advance for your kindly attention and suggestion.
Best regards,
Deborah
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