Tracking Error Performance – an Empirical Study on Efficiency
12 Pages Posted: 20 Jul 2020 Last revised: 21 Jul 2020
Date Written: October 25, 2014
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: Suggested Citation