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A fund manager announces that the fund’s one-month 95% expected shortfall is 5.6% of the size...

A fund manager announces that the fund’s one-month 95% expected shortfall is 5.6% of
the size of the portfolio being managed. You have an investment of R750,000 in the fund.
How do you interpret the portfolio manager’s announcement?

Solutions

Expert Solution

Expected loss = R750,000 * 5.6% = R42,000

There is a chance that you will loss R42,000 or more during one month period.

jeff jeffy answered 2 years ago
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