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 Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter8: Time Series Analysis And_forecasting

Section: Chapter Questions

Problem 16P: The following table reports the percentage of stocks in a portfolio for nine quarters: a. Construct...

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Question

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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
?
?

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