<t>Gmike2000,Thank you very much for your reply. I was on vacation last week, so I am just getting to this now. As you can see in my original post, I did hypothesis that the portfolio weights should sum to 100% + Leverage%. I am sorry to be dense and make you repeat yourself, but I am questioning wh...

<t>I would most appreciate any insight into the following problem ~I need to calculate ex ante tracking error for a portfolio of asset classes vs. a benchmark mix of the same asset classes, with differing asset class weights.My definition of tracking error is the standard deviation of the return dif...

<t>Note: It sounds as though you are calculating your standard deviation using 1 month's worth of daily values? If this is the case then you are calculating a daily, not monthly standard deviation. The descriptor refers to the frequency of observations, not the time frame over which they were collec...