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kd26gioi

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tT
发表于 2013-5-7 17:22 | 只看该作者

Spread duration and tracking error

difference, different, important, between
Why when looking at tracking error spread duration is more important than nominal duration? i.e., the different between spread duration between the portfolio and the benchmark has more weight than the nominal duration difference…

 

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malbec

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发表于 2013-5-7 17:26 | 只看该作者
Because tracking error is defined as the standard deviation of differences between the portfolio’s performance and the benchmark’s performance; i.e., the standard deviation of the spread.  If yields change a little or a lot, but the spread remains constant, the tracking error is zero.  Only when the spread changes does the tracking error increase.

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