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标题: Reading 9: Common Probability Distributions-LOS h 习题精选 [打印本页]

作者: 1215 时间: 2011-3-4 14:26 标题: [2011]Session 3-Reading 9: Common Probability Distributions-LOS h 习题精选

Session 3: Quantitative Methods: Application
Reading 9: Common Probability Distributions

LOS h: Define, calculate, and interpret tracking error.

Tracking error for a portfolio is best described as the:

A)
portfolio return minus a benchmark return.

B)
sample mean minus population mean.

C)
standard deviation of differences between an index return and portfolio return.

Tracking error is the difference between the total return on a portfolio and the total return on the benchmark used to measure the portfolio’s performance. The difference between a sample statistic and a population parameter is sampling error. The standard deviation of the difference between a portfolio return and an index (or any chosen benchmark return) is more often referred to as tracking risk.

作者: 1215 时间: 2011-3-4 14:26

A portfolio begins the year with a value of $100,000 and ends the year with a value of $95,000. The manager’s performance is measured against an index that declined by 7% on a total return basis during the year. The tracking error of this portfolio is closest to:

A)
?2%.

B)
?5%.

C)
2%.

Tracking error is the portfolio total return minus the benchmark total return. The portfolio return is ($95,000 ? $100,000) / $100,000 = ?5%. Tracking error = ?5% ? (?7%) = +2%.

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