Benchmark risk is defined as
A) the return difference between the portfolio and the benchmark.
B) the standard deviation of the return of the benchmark portfolio.
C) the standard deviation of the return difference between the portfolio and the benchmark.
D) the standard deviation of the return of the actively-managed portfolio.

Question

Quizplus · Accepted Answer

Benchmark risk is specifically concerned with the variability of the difference in returns between a portfolio and its benchmark, hence it is defined as the standard deviation of the return difference between the portfolio and the benchmark.

Benchmark Risk Is Defined as