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tracking-error

  1. A

    Market Risk - What is significance of Tracking error

    Hi, In chapter 1 , Page 9 - the Market risk is explained as - "Market risk specifically depends on the context. For example, In the case of a fund, the fund may be marketed as tracking a specific benchmark. Here, market risk is important to the extent that it creates a risk of tracking error."...
  2. Nicole Seaman

    P2.T9.21.9. Risk monitoring

    Learning outcomes: Describe the three fundamental dimensions behind risk management, and their relation to VaR and tracking error. Describe risk planning, including its objectives, effects, and the participants in its development ... Describe the objectives of performance measurement tools...
  3. Nicole Seaman

    P2.T9.20.5. The low-risk anomaly of asset returns

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha and describe characteristics of an effective benchmark to measure alpha...
  4. Nicole Seaman

    P1.T1.20.9. Performance measures

    Learning objectives: Calculate, compare and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino ratio. Questions: 20.9.1. The riskfree rate is 3.0% and the...
  5. D

    Information Ratio

    I'm confused on which Information Ratio to use. It appears that there are two equations. This depends on active or residual? = Alpha / Tracking Error = Rp - Rb / Tracking Error
  6. Nicole Seaman

    YouTube T1-11 Information Ratio

    The information ratio is active (or residual) return divided by active (or residual) risk. Active risk is also called tracking error, so the "active information ratio" is given by (active return)/(tracking error). Alternatively, a more technical approach is to use alpha (aka, residual risk) so...
  7. Nicole Seaman

    P2.T8.704. Alpha and effective benchmarks (Andrew Ang)

    Learning objectives: Describe and evaluate the low-risk anomaly of asset returns. Define and calculate alpha, tracking error, the information ratio, and the Sharpe ratio. Explain the impact of benchmark choice on alpha, and describe characteristics of an effective benchmark to measure alpha...
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