NO.PZ2023091901000044
问题如下：
A high net worth investor is monitoring the performance of an index
tracking fund in which she has invested. The performance figures of the fund
and the benchmark portfolio are summarized in the table below:
What is the tracking error volatility of the fund over
this period?
选项：
A.0.09%
1.10%
3.05%
D.4.09%
解释：
Relative risk
measures risk relative to a benchmark index, and measures it in terms of
tracking error or deviation from the index.
We need to calculate
the standard deviation (square root of the variance) of the series:
{0.08, 0.04, 0.02,
0.01, 0.005}
Perform the calculation by computing the difference of
each data point from the mean, square the result of each, take the average of
those values, and then take the square root. This is equal to 3.04%
如题
