$25.00
This article highlights an attribute of ex-ante tracking error estimates that is not uniformly appreciated. Risk models’
tracking error predictions are influenced by recent market conditions and change depending upon the time period of measurement.
Neil Riddles, Riddles Investment Consulting, LLC
Description
This article highlights an attribute of ex-ante tracking error estimates that is not uniformly appreciated. Risk models’ tracking error predictions are influenced by recent market conditions and change depending upon the time period of measurement. This paper includes a test demonstrating variation in ex-ante tracking error estimates over time. Monitoring predicted tracking error across time does not accurately measure the absolute level of a portfolio’s active risk. Further, imposing ex-ante tracking error limits on portfolios can lead to needless turnover/portfolio restructuring.
Comparing Ex-Ante Tracking Error Estimates Across Time
Related products
-
A Conceptual Framework for the Development and Verification of Attribution Models
$25.00 Add to cart -
A Geometric Methodology for Performance Attribution
$25.00 Add to cart -
A General Approach for Linking Arithmetic Attribution Results Over Time
$25.00 Add to cart -
A Closer Look at Performance Persistence of Mutual Funds
$25.00 Add to cart