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
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Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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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
?
?
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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