Tracking error is defined as

Related MCQs

• The tracking error of an optimized portfolio can be expressed in terms of the ____________ of the portfolio and thus reveal ____________.
• The tracking error of an optimized portfolio can be expressed in terms of the ____________ of the portfolio and thus reveal ____________.
• Which of the statements is/are false regarding Arbitrage Pricing Theory (APT)? I. APT assumes that return on any asset can be expressed as a linear function of a set of market factors or indexes. II. The arbitrage price line indicates relation between unsystematic risk and the expected return of an asset. III. While deriving the APT model, APT assumes that the error term can be reduced to zero through appropriate diversification.
• Suppose you estimate the characteristic line for Stock X. You find that the standard deviation of X’s error term is 7%, X’s beta is 1.4, and the standard deviation of the market is 12%. What is the total standard deviation for Stock X?
• A purely passive strategy is defined as
• __________ is defined as the nth root of the product resulting from multiplying a series of returns together.
• Benchmark portfolio risk is defined as
• A purely passive strategy is defined as