投资风险经典题第6页1.7scaling alpha 的公式

同学你好，

active risk 和 residual risk不是同一个意思。

The active risk of an investment or a portfolio is the difference between the return and the benchmark index's return for that security or portfolio.  通常用tracking error来衡量，在实务中大多数时候用alpha的标准差来衡量。

residual risk比较复杂，举个例子Suppose a portfolio of investments has a standard deviation of 15% and the systematic risk is known to be 8%. The residual risk would be equal to:15%-8%=7%，你就把理解成题目里说的volatility就行了，原版书也没有展开。

alpha的标准差等于residual risk 乘以IC。

这道题了解到这儿我个人感觉就可以了：-）

更进一步，可以参考这个 

https://www.investopedia.com/articles/fa-profession/091716/active-risk-vs-residual-risk-differences-and-examples.asp