RT Journal Article
SR Electronic
T1 Practical Applications of How Much Error Is in the Tracking Error: <em>The Impact of Estimation Risk on Fund Tracking Error</em>
JF Practical Applications
FD Institutional Investor Journals
SP 1
OP 4
DO 10.3905/pa.2015.3.1.116
VO 3
IS 1
A1 Artemiza Woodgate
A1 Andrew F. Siegel
A1 Barbara J. Mack
YR 2015
UL https://pm-research.com/content/3/1/1.12.abstract
AB How Much Error Is in the Tracking Error: The Impact of Estimation Risk on Fund Tracking Error Artemiza Woodgate Andrew F Siegel 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.