Ex Ante Tracking Error Fixed Income
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it indicates how closely a portfolio follows the index to which it is benchmarked. The best measure ex ante tracking error calculation is the standard deviation of the difference between the portfolio and index ex ante tracking error formula returns. Many portfolios are managed to a benchmark, typically an index. Some portfolios are expected to replicate, ex ante tracking error definition before trading and other costs, the returns of an index exactly (e.g., an index fund), while others are expected to 'actively manage' the portfolio by deviating slightly from ex ante vs ex post tracking error the index in order to generate active returns. Tracking error is a measure of the deviation from the benchmark; the aforementioned index fund would have a tracking error close to zero, while an actively managed portfolio would normally have a higher tracking error. Thus the tracking error does not include any risk (return) that is merely
Ex Ante Tracking Error Calculation Excel
a function of the market's movement. In addition to risk (return) from specific stock selection or industry and factor "bets," it can also include risk (return) from market timing decisions. Dividing portfolio active return by portfolio tracking error gives the information ratio, which is a risk adjusted performance measure. Contents 1 Definition 1.1 Formulas 1.2 Interpretation 2 Examples 3 References 4 External links Definition[edit] If tracking error is measured historically, it is called 'realized' or 'ex post' tracking error. If a model is used to predict tracking error, it is called 'ex ante' tracking error. Ex-post tracking error is more useful for reporting performance, whereas ex-ante tracking error is generally used by portfolio managers to control risk. Various types of ex-ante tracking error models exist, from simple equity models which use beta as a primary determinant to more complicated multi-factor fixed income models. In a factor model of a portfolio, the non-systematic risk (i.e., the standard deviation of the residuals) is called "tracking error" in the investment fiel
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Tracking Error Formula
developers or posting ads with us Quantitative Finance beta Questions Tags Users Badges Unanswered Ask Question tracking error information ratio _ Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute: Sign tracking error interpretation 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 Fixed Income Ex Ante Tracking Error up vote 0 down vote favorite Anyone know a https://en.wikipedia.org/wiki/Tracking_error good source that walks through how to calculate Ex Ante tracking error for a fixed income portfolio? fixed-income risk share|improve this question asked Aug 23 at 21:52 Joseph Roberts 211 It is a big job. You might want to contact a fixed income analytics company like yieldbook.com or other (I don't know the names or their reputation) that does this for a living. –noob2 Aug 24 at 14:15 add a comment| active oldest votes Know someone who can http://quant.stackexchange.com/questions/29801/fixed-income-ex-ante-tracking-error answer? Share a link to this question via email, Google+, Twitter, or Facebook. 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, you agree to the privacy policy and terms of service. Browse other questions tagged fixed-income risk or ask your own question. asked 1 month ago viewed 26 times Related 7Is there a comprehensive reference book on US fixed income conventions?2Yield on Fixed income futures1Market Standard Pricing Models for Fixed Income Securities (Vanilla)2Fixed Income free research available online1Ex-Ante tracking error how to determine the look back period2ex ante tracking error correlation between funds2What's the intuition behind DTS(duration times spread) in fixed income?2Forward parity in fixed income1Can anyone suggest book about fixed-income portfolio management?0Lambda in RiskMetrics for fixed income Hot Network Questions Tell company that I went to interview but interviewer did not respect start time Is there any job that can't be automated? Cyberpunk story: Black samurai, skateboarding courier, Mafia selling pizza and Sumerian goddess as a computer virus At first I was afraid I'd be petrified Security Patch SUPEE-8788 - Possible Problems? Can a Legendary monster ignore a diviner's Portent and choose to pass the save anyway? How to deal with players rejecting the question premise What are Imperial o
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