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7. Suppose the daily returns of a portfolio and a benchmark portfolio it is replicating are as follows:
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What is the tracking error over the four day period?
3.16 bps
2 bps
10 bps
2.39 bps
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2009-6-13 13:09
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Correct answer is A
A is correct. Tracking error is the standard deviation of the difference between the return of the managed portfolio and the benchmark portfolio.fficeffice" />
TE = sigma(R_P - R_B) = ( E[(R_P - R_B)^2] - E[R_P - R_B]^2 )^(1/2)
and
E[R_P - R_B] = (4 + (-2) + 6 + 0) / 4 = 2.00
E[(R_P - R_B)^2] = (16 + 4 + 36 + 0) / 4 = 14.00
So,
TE = (14.00 - 4.00)^(1/2) = 3.16 bps.
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发表于 2009-6-13 13:10
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