$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 Model for a Global Investment Attribution Analysis
$25.00 Add to cart -
“A Call to Arms!” The Next Frontier for Taxable Accounts-After- tax Return Performance Attr
$25.00 Add to cart -
A Closer Look at Performance Persistence of Mutual Funds
$25.00 Add to cart -
A New Approach to the Decomposition of Yield Curve Movements for Fixed Income Attribution
$25.00 Add to cart