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Practical Applications of How Much Error Is in the Tracking Error: The Impact of Estimation Risk on Fund Tracking Error

Artemiza Woodgate, Andrew F. Siegel and Barbara J. Mack
Practical Applications Summer 2015, 3 (1) DOI: https://doi.org/10.3905/pa.2015.3.1.116
Artemiza Woodgate
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Andrew F. Siegel
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Barbara J. Mack
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How Much Error Is in the Tracking Error: The Impact of Estimation Risk on Fund Tracking Error Artemiza Woodgate Andrew F Siegel

Abstract

Evaluating portfolio performance through comparison with benchmarks is a classic technique in modern finance. However, biases can impact expectations on excess return and tracking error, particularly in portfolios constructed using mean-variance optimization.

In this report, Artemiza Woodgate, a Senior Research Analyst at Russell Investments , and Andrew Sieg el, the Grant I. Butterbaugh Professor at the University of Washington’s Foster School of Business , tell us how to combat statistical errors in performance analysis and describe their approach to reducing the influence of noisy estimates.

  • The content is made available for your general information and use and is not intended for trading or other specific investment advice purposes or to address your particular requirements. We do not represent or endorse the accuracy or reliability of any advice, opinion, statement, or other information provided any user of this publication. Reliance upon any opinion, advice, statement, or other information shall also be at your own risk. Independent advice should be obtained before making any such decision. Any arrangements made between you and any third party named in this publication are at your sole risk.
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Practical Applications: 3 (1)
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Practical Applications of How Much Error Is in the Tracking Error: The Impact of Estimation Risk on Fund Tracking Error
Artemiza Woodgate, Andrew F. Siegel
Practical Applications Jul 2015, 3 (1) DOI: 10.3905/pa.2015.3.1.116

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Practical Applications of How Much Error Is in the Tracking Error: The Impact of Estimation Risk on Fund Tracking Error
Artemiza Woodgate, Andrew F. Siegel
Practical Applications Jul 2015, 3 (1) DOI: 10.3905/pa.2015.3.1.116
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