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Tracking errors using multifactor models and/or TE decomposition..
HiDoes anybody have any good reference/papers on tracking errors which :Use multifactor and/or regression models (I know of only one by Ammann/Tobler)And/or analyze the market timing and selection aspects of the tracking errorAnd/or decompose the TE in any wayAnd/or other models/ definitions of TEThanks,T
Last edited by tosh137 on July 23rd, 2003, 10:00 pm, edited 1 time in total.
Tracking errors using multifactor models and/or TE decomposition..
Look at this, I hope it helps you,rgds, http://www.nse-india.com/content/indice ... gerror.pdf
Last edited by mrbadguy on July 24th, 2003, 10:00 pm, edited 1 time in total.
Tracking errors using multifactor models and/or TE decomposition..
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 index, RP- the return of tracking portfolio. I am wondering the background of the 2nd formular and in what situation it is being used. I assume that the risudual error term is from the CAPM. RP= RB*Beta+Alpha+ ErrorCan anybody help?