You forecast 14 percent benchmark volatility the recent


You are a benchmark timer who in backtests can add 50 basis points of risk-adjusted value added. You forecast 14 percent benchmark volatility, the recent average, but unfortunately benchmark volatility turns out to be 17 percent. How much value can you add, given this misestimation of benchmark volatility?

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Portfolio Management: You forecast 14 percent benchmark volatility the recent
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