Tracking Error- Assessing Index Fund Performance

The Journal of Investment Consulting, Vol. 2, No. 1, Nov. 1999

Posted: 21 Sep 1999

Abstract

As the dollars being indexed grows close to $1 trillion and management becomes more sophisticated, institutional investors are demanding tighter tracking to the index especially with S&P 500 Index Funds.

In our report from the Kentucky State Auditors Office we concluded that a thirty basis point tracking error in a $3 billion S&P 500 index fund; the net result of which is an estimated $7.89 million a year was not acceptable. We also recommended that funds should seek external management of its S&P 500 index fund if internal management cannot reduce tracking errors below that achievable by a compensated external manager.

Note: This is a description of the paper and not the actual abstract.

JEL Classification: G14

Suggested Citation

Tobe, Christopher B., Tracking Error- Assessing Index Fund Performance. The Journal of Investment Consulting, Vol. 2, No. 1, Nov. 1999, Available at SSRN: https://ssrn.com/abstract=181509

Christopher B. Tobe (Contact Author)

Stable Value Consultants ( email )

Louisville, KY
United States

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