EquityPortfolioTrackingError.pptVIP

  1. 1、本文档共10页,可阅读全部内容。
  2. 2、原创力文档(book118)网站文档一经付费(服务费),不意味着购买了该文档的版权,仅供个人/单位学习、研究之用,不得用于商业用途,未经授权,严禁复制、发行、汇编、翻译或者网络传播等,侵权必究。
  3. 3、本站所有内容均由合作方或网友上传,本站不对文档的完整性、权威性及其观点立场正确性做任何保证或承诺!文档内容仅供研究参考,付费前请自行鉴别。如您付费,意味着您自己接受本站规则且自行承担风险,本站不退款、不进行额外附加服务;查看《如何避免下载的几个坑》。如果您已付费下载过本站文档,您可以点击 这里二次下载
  4. 4、如文档侵犯商业秘密、侵犯著作权、侵犯人身权等,请点击“版权申诉”(推荐),也可以打举报电话:400-050-0827(电话支持时间:9:00-18:30)。
  5. 5、该文档为VIP文档,如果想要下载,成为VIP会员后,下载免费。
  6. 6、成为VIP后,下载本文档将扣除1次下载权益。下载后,不支持退款、换文档。如有疑问请联系我们
  7. 7、成为VIP后,您将拥有八大权益,权益包括:VIP文档下载权益、阅读免打扰、文档格式转换、高级专利检索、专属身份标志、高级客服、多端互通、版权登记。
  8. 8、VIP文档为合作方或网友上传,每下载1次, 网站将根据用户上传文档的质量评分、类型等,对文档贡献者给予高额补贴、流量扶持。如果你也想贡献VIP文档。上传文档
查看更多
EquityPortfolioTrackingError

Equity Portfolio Tracking Error Raman Vardharaj Quantitative Portfolio Manager Guardian Life Insurance This presentation is based on the following unpublished paper: 揇eterminants of tracking error for equity portfolios?by Raman Vardharaj, Frank Jones and Frank Fabozzi. How do you measure the risk of a stock portfolio? Absolute risk: Volatility of returns Relative risk: Volatility relative to a benchmark Example: Tracking error or Active risk Definition of Tracking Error Active return = Portfolio return - Benchmark return Tracking error = standard deviation of active returns Application: Information ratio = alpha / tracking error (Alpha = average active return) Estimation of tracking error: - Trailing active returns (backward looking estimate) - Risk model e.g., Barra (forward looking estimate) A Measure of Risk An important risk metric for portfolios that are managed versus a benchmark Typical values: - 0% for index funds - less than 2% for enhanced index funds - 5% for active large cap stock funds Today One year from now Time Cumulative Return Tracking Error = 4% Benchmark Cumulative Return Rtn(Benchmark) Rtn(BM) +4% Rtn(BM) -4% 1 Std Dev or 66% confident Tracking Error: An Example Tracking Error = 1% Today Time Cumulative Return Benchmark Cumulative Return Rtn(Benchmark) Rtn(BM) +1% Rtn(BM) -1% 1 Std Dev or 66% confident One year from now Tracking Error: An Example Determinants of tracking error Number of stocks held - those in the benchmark and those not in the benchmark Size or Style or Sector bets Beta Benchmark volatility Effect of number of stocks Tracking error falls as the portfolio includes more and more of the stocks in the benchmark An optimally constructed portfolio of just 50 stocks can track the SP 500 within 2% Tracking error rises as the portfolio starts to include stocks that are not in the benchmark Tracking Error is Reduced as More Benchmark Stocks are Included Tracking Error Reduction

文档评论(0)

118books + 关注
实名认证
文档贡献者

该用户很懒,什么也没介绍

1亿VIP精品文档

相关文档