Tracking errors using multifactor models and/or TE decomposition..
Posted: July 24th, 2003, 6:18 pm
by tosh137
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
Tracking errors using multifactor models and/or TE decomposition..
Posted: July 25th, 2003, 1:21 pm
by mrbadguy
Tracking errors using multifactor models and/or TE decomposition..
Posted: July 31st, 2003, 1:55 pm
by Bloom
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?