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From the book Active Portfolio Management there is a use of lingo I don't understand.

Take this quote from pg. 100

"Why are institutional money managers willing to accept the benchmark portfolio with 20 percent risk and loath to take on a portfolio with 21.00 percent risk."

In this context what do they mean by 20% risk? Are they talking about a portfolio where the annual standard deviation of returns is 20%?

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    $\begingroup$ he breaks it down into benchmark risk and residual risk (information ratio). what's confusing is they he defines benchmark risk in two different ways. one as the portfolio beta and two as the benchmark volatility. $\endgroup$
    – Ralph Winters
    Commented May 18, 2022 at 22:22

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