Annualized Tracking Error Calculation
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Fund of Funds Money Managers Plan Sponsors Reference MaterialsArticles Concepts Statistics StatFACTS Links Conference Materials Dynamic Text Client ResourcesTraining/SupportRegional Training annualized calculation in excel New User Online Training Weekly Online Training Template Library Guides Help tracking error calculation example VideosOnline Tutorials Quick Tip Videos DownloadsData Updates Software Beta Installs WebEx E-mail: * Password: * Remember annualized information ratio me Request new password Updates Contact Us Site Map Home › Products › About Us › Clients › Reference Materials › Statistics Reference Materials annualized sharpe ratio Articles Concepts Statistics StatFACTS Links Conference Materials Dynamic Text Contact Us Request More Information Complimentary Investment Analysis Schedule Web Demo Tracking Error Tracking Error (also known as 'active risk') is the annualized standard deviation of excess return to the benchmark. Like R-Squared, Tracking Error is calculated using the common date range of the benchmark and the
Annualized Alpha
weighted portfolio return series. where: Tracking Error std = standard deviation arithmetic return of weighted portfolio return series at time t arithmetic return of benchmark at time t N = periods per year Statistic Tracking Error PSN SMA login PO Box 12368 | 312 Dorla Court, NV 89448 | ph 775.588.0654 | fax 775.588.8423 Privacy Policy| Financial intelligence division of Informa| Informa Business Intelligence, Inc., a company incorporated in Massachusetts, USA under company number 042705709 with offices at 52 Vanderbilt Avenue, 11th Floor, New York, NY 10017. Informa Business Intelligence, Inc. is part of Informa PLC Copyright © 2016 Informa Business Intelligence, Inc. Informa Investment Solutions is part of the Business Intelligence Division of Informa PLC Informa PLC About us Investor relations Talent This site is operated by a business or businesses owned by Informa PLC and all copyright resides with them. Informa PLC’s registered office is 5 Howick Place, London SW1P 1WG. Registered in England and Wales. Number 8860726. Informa
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Annualized Standard Deviation
might have Meta Discuss the workings and policies of this site annualized formula About Us Learn more about Stack Overflow the company Business Learn more about hiring developers or posting annualized return formula ads with us Quantitative Finance beta Questions Tags Users Badges Unanswered Ask Question _ Quantitative Finance Stack Exchange is a question and answer site for finance professionals http://www.styleadvisor.com/content/tracking-error and academics. Join them; it only takes a minute: Sign up Here's how it works: Anybody can ask a question Anybody can answer The best answers are voted up and rise to the top How to calculate annualised tracking error? up vote 0 down vote favorite I have 36 months of relative returns and http://quant.stackexchange.com/questions/19599/how-to-calculate-annualised-tracking-error I need to calculate the annualised tracking error. So, using 36 months of returns is it simply like below: stdev(36 months of returns) * sqrt(12) Why the sqrt(12)? portfolio-management returns tracking-error share|improve this question edited Nov 3 '15 at 3:32 SRKX♦ 7,31032255 asked Sep 3 '15 at 11:38 mHelpMe 11811 add a comment| 1 Answer 1 active oldest votes up vote 1 down vote $\sqrt{12}$ annualizes monthly deviations. But I don't understand why you measure tracking error with stdev. It should be $$ ATE = \sqrt{\frac{12}{36}\sum_{i=1}^{36}(r_{b,i}-r_{t,i})^2}$$ where $r_{b,i}$ is benchmark return for month $i$ and $r_{t,i}$ is tracking portfolio return for same period. So you shouldn't substract average error inside square. share|improve this answer edited Sep 3 '15 at 13:10 answered Sep 3 '15 at 13:02 hvedrung 1596 This is correct, in particular, for ETFs. The scaling is needed for annualization. The same treatment is also employed for historical volatility estimation based on daily asset prices. –Gordon Nov 2 '15
Finance Trading Q3 Special Report Small Business Back to School Reference Dictionary Term Of The Day Foreign Exchange Reserves http://www.investopedia.com/terms/t/trackingerror.asp Foreign exchange reserves are reserve assets held by a central bank in foreign currencies, ... Read More » Latest Videos John McAfee on the IoT & Secure Smartphones Jared Dillian: Influence Guides Stock Basics Economics Basics Options Basics Exam Prep Series 7 Exam CFA Level 1 Series 65 Exam tracking error Simulator Stock Simulator Trade with a starting balance of $100,000 and zero risk! FX Trader Trade the Forex market risk free using our free Forex trading simulator. Advisor Insights Newsletters Site Log In Advisor Insights Log In Tracking Error Loading the player... What is a 'Tracking Error' tracking error calculation Tracking error is the divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. This is often in the context of a hedge or mutual fund that did not work as effectively as intended, creating an unexpected profit or loss instead.Tracking error is reported as a standard deviation percentage difference, which reports the difference between the return an investor receives and that of the benchmark he was attempting to imitate. BREAKING DOWN 'Tracking Error' Since portfolio risk is often measured against a benchmark, tracking error is a commonly used metric to gauge how well an investment is performing. Tracking error shows an investment's consistency versus a benchmark over a given period of time. Even portfolios that are perfectly indexed against a benchmark behave differently than the benchmark, even though this difference on a day-to-day, quarter-to-quarter or year-to-year basis may be ever so slight. Tracking error is used to quantify this difference.Calculation of Tracking ErrorTracking error is the standard deviation of the dif
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