Annualized Tracking Error Definition
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Annualized Standard Deviation Definition
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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 weighted portfolio return ex ante tracking error definition 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. Num
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Annualized Information Ratio
Forum CFA Hook Up CAIA More in CAIA CAIA Test Prep CAIA annualized sharpe ratio Events CAIA Links About the CAIA Program FRM More in FRM FRM Test Prep FRM Events FRM Links annualized alpha About the FRM Program Careers Investments Water Cooler Test Prep Test Prep Sections CFA Test Prep CAIA Test Prep FRM Test Prep Calendar AF Deals CFA Test Prep CFA Events http://www.styleadvisor.com/content/tracking-error CFA Links About the CFA Program Home Forums CFA Forums CFA General Discussion Tracking Error Calculation Tweet Widget Google Plus One Linkedin Share Button Facebook Like Last post whystudy Apr 20th, 2009 6:42pm CFA Charterholder 641 AF Points I have quarterly returns for a fund up to 5 years and also the benchmark mark. meaning I calculation the excess return. How http://www.analystforum.com/forums/cfa-forums/cfa-general-discussion/9939876 can I calculate the Annualized Tracking Error and why? How does the formula change for monthly returns. Thanks 5 Reasons to Use Wiley in 2016 Reason #2: No Expiration Date. You get free updates until you pass. learn more Share this Facebook Like Google Plus One Linkedin Share Button Tweet Widget kblade Apr 20th, 2009 7:00pm CFA Charterholder 714 AF Points For annualized tracking error I think you need to take your quarterly returns and multiply them to get annual return annual = (1+q1)(1+q2)(1+q3)(1+q4) do the same for benchmark unless it is already in annual terms then tracking error is standard deviation of (portfolio return - benchmark return) for monthly returns it’s same formula, standard deviation of (portfolio return - benchmark return), just that they are monthly returns not annual to get monthly return take 4th root of your quarterly returns i.e. (1+q)^(1/4) unless you have monthly return for portfolio and benchmark already if you don’t then your tracking error will be same for first 3 months, for the next 3 months, etc. whystudy Apr 20th, 2009 7:07pm CFA Ch
help Tour Start here for a quick overview of the site Help Center Detailed answers to any questions you might have Meta Discuss the workings and policies of this site About Us Learn more http://quant.stackexchange.com/questions/19599/how-to-calculate-annualised-tracking-error about Stack Overflow the company Business Learn more about hiring developers or posting 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 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 tracking error 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 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 tracking error definition '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 at 14:42 I think his "returns" are as indicated in the question "relative" returns so they correspond to $\bar{r}_i = r_{t,i} - r_{b,i}$, then he uses the approach from wiki $TE=\sqrt{\text{Var}(\bar{r}_i)}$ is that wrong? –SRKX♦ Nov 3 '15 at 3:37 add a comment| Your Answer draft saved draft discarded Sign up or log in Sign up using Google Sign up using Facebook Sign up using Email and Password Post as a guest Name Email Post as a guest Name Email discard By posting your answer, yo