Ex Ante Tracking Error and Stress Tests
Posted: February 14th, 2011, 4:10 pm
Hi,I have run the tracking error of a fund against a benchmark and obtain a low annual figure of around 80bps. When however i perform stress tests on the fund and benchmark, they produce very different results, as an example the Lehman period produced negative PnL of 2.3% wheras the Benchmark was +50bpsIs this plausible?Many thanksBFP