6. The table below provides returns on a portfolio along with returns for the corresponding benchmark index for the past eight quarters. The table also provides the difference between portfolio returns and the benchmark index. What is the annualized tracking error of the portfolio?
6. The table below provides returns on a portfolio along with returns for the corresponding benchmark index for the past eight quarters. The table also provides the difference between portfolio returns and the benchmark index. What is the annualized tracking error of the portfolio?
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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
Transcribed Image Text:6. The table below provides returns on a portfolio along with returns for the corresponding
benchmark index for the past eight quarters. The table also provides the difference between
portfolio returns and the benchmark index. What is the annualized tracking error of the
portfolio?
Period
1
567S A WNP
2
3
4
8
Average
SD
Portfolio
0.05
-0.036
0.022
0.012
-0.003
-0.023
0.089
-0.008
Index
0.027
-0.046
0.019
0.022
-0.001
-0.03
0.081
0.006
Difference
0.023
0.010
0.003
-0.010
-0.002
0.007
0.008
-0.014
?
?
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