Tracking Error Performance – an Empirical Study on Efficiency

12 Pages Posted: 20 Jul 2020 Last revised: 21 Jul 2020

See all articles by Maheen M

Maheen M

TKM College of Arts and Science, Kollam 5

Date Written: October 25, 2014

Abstract

Active portfolio managers are eager to predict future volatility in the returns of schemes. Returns of each scheme are tracks with the returns of respective bench mark, technically called as tracking error. Ex-ante tracking error plays a crucial role in predicting future performance of the schemes. Ex-post tracking error indicates actual returns difference from the benchmark. The presented study tries to understand the efficiency of data packages (via, Bloomberg and BarraOne) used SBI Mutual Fund, one of the leading fund managers in India by considering ex-ante tracking error and the ex-post tracking error data.

Keywords: Tracking Error (TE), Ex-ante & Ex-post TE, Bloomberg and BarraOne

JEL Classification: G11, G19

Suggested Citation

M, Maheen, Tracking Error Performance – an Empirical Study on Efficiency (October 25, 2014). Available at SSRN: https://ssrn.com/abstract=3635138 or http://dx.doi.org/10.2139/ssrn.3635138

Maheen M (Contact Author)

TKM College of Arts and Science, Kollam 5 ( email )

TKM College of Arts and Science Kollam
Kollam, 691005
India

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