Actively managing tracking error

Curt Burmeister, Helmut Mausser () and Rafael Mendoza
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Helmut Mausser: Algorithmics Incorporated

Journal of Asset Management, 2005, vol. 5, issue 6, No 5, 410-422

Abstract: Abstract Managing tracking error on an ex ante basis requires an ability to assess the possible effects of trades on a fund's performance relative to its benchmark. This paper develops several simple diagnostic tools to help fund managers evaluate alternative trading strategies in terms of their potential for reducing tracking error. Moreover, risk reductions can be readily balanced against trading requirements and impacts on active return to identify desirable strategies.

Keywords: tracking error; risk management; trading strategies; risk decomposition; ex ante; trade risk profile (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:5:y:2005:i:6:d:10.1057_palgrave.jam.2240157

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DOI: 10.1057/palgrave.jam.2240157

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