Convert Tracking Error To Var
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CFA Program CFA Forums CFA General Discussion CFA Level I Forum CFA Level II Forum CFA Level III Forum CFA Hook Up CAIA More in annualized tracking error CAIA CAIA Test Prep CAIA Events CAIA Links About the CAIA Program FRM More calculate tracking error from monthly returns in FRM FRM Test Prep FRM Events FRM Links About the FRM Program Careers Investments Water Cooler Test Prep Test annualised tracking error Prep Sections CFA Test Prep CAIA Test Prep FRM Test Prep Calendar AF Deals CFA Test Prep CFA Events CFA Links About the CFA Program Home Forums CFA Forums CFA General Discussion Tracking Error monthly 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 can I calculate the Annualized Tracking Error and why? How does the formula change for monthly returns. Thanks 5 Reasons to Use Wiley
Annualizing Monthly Tracking Error
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 Charterholder 641 AF Points kblade Wrote: ——————————————————- > 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 > annua
in 'P2.T5. Market Risk (25%)' started by David Harper CFA FRM, Aug 21, 2007. David Harper CFA FRM David Harper CFA FRM (test) Lee just
Tracking Error Formula Cfa
asked me about relative VaR as discussed in this fine article: http://www.financewise.com/public/edit/riskm/rmforinvestors/rmforinvestors-models.htm . tracking error calculation monthly returns His question here: "Dear David- I am currently studying for 2007 FRM exam and trying to read articles as information ratio excel to VAR and other FRM-related articles. In last weekend, I found one interesting article (please refer the following link) but I couldn't’t figure out how those figures came up with. http://www.financewise.com/public/edit/riskm/rmforinvestors/rmforinvestors-models.htm Can http://www.analystforum.com/forums/cfa-forums/cfa-general-discussion/9939876 you take a look at Table F (Performance year to date 2000, Jan 1-Oct 25) and Table G (Relative VAR) and teach me how to calculate those figures? I tried numerous different approach but couldn't’t figure out the methodology methodology by now." Lee - While this is a good article, I recommend you avoid it in favor of the assigned readings: Linda Allen Chapter 1 http://www.bionicturtle.com/forum/threads/relative-var-tracking-error.8/ for VaR (but also Jorion, of course) and Noel Amenc Chapter 4 for Tracking Error. Just to be pragmatic. The problem is that, for both of these terms (relative VaR and tracking error), people can have different definitions. As your article does. So, I didn't check the calculations, but here is some high-level help (I hope): Relative versus Absolute VaR For our purposes (the exam), relative VaR refers to VaR relative to the expected value of the portfolio. Absolute VaR refers to VaR relative to zero. So, if you start today with portfolio value of $100, expected annual return of 10% and (annualized) standard deviation (of returns) of 10%, the one-year 95% RELATIVE VAR = ($100)(10%)(-1.645) = -$16.45. The one-year 95% ABSOLUTE VAR = ($100)[(-1.645)(10%)+10%] = -$6.45. See the difference? At the end of the year, we expect the portfolio to grow to $110. But $16.45 is "at risk." Relative VaR is the full $16.45 and Absolute VaR, giving credit to the gains that theoretically relate to the risk, speaks to loss versus initial value. Another way to view it: either way, our 1-year 95% VaR (note how i am careful to
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