tracking error


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Tracking error

In an indexing strategy, the standard deviation of the difference between the performance of the benchmark and the replicating portfolio.

Tracking Error

An excessive deviation between an investment or portfolio and some benchmark. It is commonly used with respect to mutual funds, hedges, or other investment vehicles designed to track some index or other benchmark. If the portfolio's performance falls short of the benchmark, especially by a large amount, there is said to be a tracking error; an investor or investment company may wish to re-evaluate how it puts together the portfolio.

tracking error

The difference in the return earned by a portfolio and the return earned by the benchmark against which the portfolio is constructed. For example, if a bond portfolio earns a return of 5.15% during a period when the portfolio's benchmark (say, for example, the Lehman Brothers Index) produces a return of 5.06%, the tracking error is .09%, or 9 basis points.
References in periodicals archive ?
In the sliding surface condition, if s, [??] and [??] are equal to null, then the tracking error, e (t), reaches to zero.
Frino and Gallagher (2001) point out tracking error will always exist due to expenses, dividend payments, and the size and timing of index rebalancing.
The path tracking errors in x, y, and [psi] are given in Figure 2.
The discriminator output represents the carrier phase tracking error and reflects the locking condition of PLL for the carrier phase.
and then the bounds of tracking errors [mathematical expression not reproducible] converge asymptotically to a sufficiently small interval as k [right arrow] [infinity] for i [member of] {1,..., n}.
The mirror slope error of the dish concentrator and tracking error of the EATD are included in this optical model.
In general, the flight control law using [[rho].sub.V] and [[rho].sub.h] can achieve fast rising time for large tracking errors first.
The tracking error dynamics can be derived below by differentiating the equation (19):
To achieve the control objective, the tracking error [z.sub.i] (t), i = 1,V should satisfy the following prescribed performance bounds [22, 39]:
When IV is far away from desired particle quality, that is, the initial tracking error is larger, DDOILC has quicker convergence speed.