It would be useful to have the Risk Statistics page (of a Sim) include the Risk Stats for the Active return as well as the Model and the SP500. This would be very useful when considering hedging - the Active return is effectively a 100% hedged return using the benchmark as the hedge. The active return will probably show slightly lower return and sharpe ratio than the model but its correlation with the market (SP500 say) will be dramatically lower. Should be very easy and quick to implement.
Results: Total score: 14 , # of Votes: 4 , Average: 3.5
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Requested by: linzjonz
On date: 06/19/07
Category: Simulation