Statistical tracking error

Statistical tracking error

Used in the context of general equities. Standard deviation of the difference between the portfolio return and the desired investment benchmark return.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

Statistical Tracking Error

One standard deviation from the difference between the return on a portfolio and the return on a benchmark, such as the S&P 500. If the difference varies within that standard deviation, it is not considered cause for concern. For example, it may be attributed to a rounding error in the calculations. See also: Margin of error.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
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