Risk Measurement for Asset Managers: A Test of Relative VAR

Newfin Working Paper No. 6/02

23 Pages Posted: 22 May 2003

See all articles by Davide Maspero

Davide Maspero

Bocconi University - Department of Finance

Francesco Saita

Bocconi University - Department of Finance

Date Written: November 2002

Abstract

The over or underperformance against a benchmark is one of the main parameters for mutual fund managers' evaluation and compensation. Therefore, the ability to measure the potential underperformance that can derive from an adverse move of the market given current portfolio composition is crucial. This paper tests Relative Value at Risk (RVaR) as the possible measure that can provide this information to fund managers. The empirical test on RVaR accuracy for internationally diversified equity portfolios is encouraging, and sheds some light on the different problems that arise when backtesting Relative VaR instead of common VaR measures.

Keywords: risk, value at risk, asset management

JEL Classification: G10, G23

Suggested Citation

Maspero, Davide and Saita, Francesco, Risk Measurement for Asset Managers: A Test of Relative VAR (November 2002). Newfin Working Paper No. 6/02, Available at SSRN: https://ssrn.com/abstract=382447 or http://dx.doi.org/10.2139/ssrn.382447

Davide Maspero (Contact Author)

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

Francesco Saita

Bocconi University - Department of Finance ( email )

Via Roentgen 1
Milano, MI 20136
Italy

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