An alternative calculation of tracking error

C Lawton-Browne ()
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C Lawton-Browne: Clerical Medical Investment Group Ltd

Journal of Asset Management, 2001, vol. 2, issue 3, No 3, 223-234

Abstract: Abstract This paper investigates the reasons for the recent underestimation of tracking risk by popular risk models and suggests an alternative calculation. Two possible reasons are investigated: autocorrelated returns and volatility clustering. The suggested calculation incorporates stochastic stock weights into the standard formula.

Keywords: tracking error; investment risk; asset management; factor models (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:2:y:2001:i:3:d:10.1057_palgrave.jam.2240047

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DOI: 10.1057/palgrave.jam.2240047

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