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- July 31st, 2003, 2:02 pm
- Forum: General Forum
- Topic: Tracking error
- Replies: 3
- Views: 191496
Tracking error
<t>hi, it seems that there r many ways to measure tracking error. Standard deviation of the difference betw the return of tracking portfolio and the benchmark is the one, the standard deviation of the risudual error( = sigma (RB)* sqrt(1- correl(RB,RP)) is another way. RB- the return of benchmark in...
- July 31st, 2003, 1:55 pm
- Forum: Technical Forum
- Topic: Tracking errors using multifactor models and/or TE decomposition..
- Replies: 2
- Views: 189950
Tracking errors using multifactor models and/or TE decomposition..
<t>hi, it seems that there r many ways to measure tracking error. Standard deviation of the difference betw the return of tracking portfolio and the benchmark is the one, the standard deviation of the risudual error( = sigma (RB)* sqrt(1- correl(RB,RP)) is another way. RB- the return of benchmark in...