标题: Tracking Error means Active Return or Active Risk? [打印本页]

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作者: cfa10yrplan    时间: 2011-7-11 19:26     标题: Tracking Error means Active Return or Active Risk?

Perhaps the curriculum is fuzzy or maybe my head is fogged up...

"Tracking Error" means what exactly-- "Active Return" or "Active Risk"?

I thought Tracking error is (Portfolio - Bmk) return, but Reading 47 EOC # 8, is calling Std. dev. of (Portfolio - Bmk) return as "Tracking Error", I thought the name for that is "tracking risk".

Also as a side-bar, in thise EOC solution, computing std. dev. from 5 observations seems statistically poor, right?



Edited 1 time(s). Last edit at Tuesday, May 17, 2011 at 10:13PM by jbaphna.

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作者: thommo77    时间: 2011-7-11 19:26

tracking error = tracking risk

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作者: Chuckrox    时间: 2011-7-11 19:26

std dev of active return.

CP

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作者: dyga    时间: 2011-7-11 19:26

Ok, the correct answer is curriculum is no fuzzy, my head was fogged up :-) Thanks!
I scare myself doing stupid things like this last minute.

In any case, anyone see any issue with computing Std. dev. based on just 5 observations, and its statistical validity?

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作者: mar350    时间: 2011-7-11 19:26

In practice it may not be ideal, but in a test setting it's the only real way to go.

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