Tracking Error

v1.0.0

Compute the tracking error between a benchmark and one or several portfolio(s).

References

Carl R. Bacon, Practical Portfolio Performance Measurement and Attribution

Input

{
  "type": "object",
  "required": [
    "benchmarkReturns",
    "portfolios"
  ],
  "properties": {
    "benchmarkReturns": {
      "type": "array",
      "description": "benchmarkReturns[t] is the return of the benchmark at the time t; the benchmarkReturns array must have the same length as all the portfolioReturns arrays",
      "items": {
        "type": "number"
      }
    },
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioReturns"
        ],
        "properties": {
          "portfolioReturns": {
            "type": "array",
            "description": "portfolioReturns[t] is the return of the portfolio at the time t, the portfolioReturns must have the same length as the benchmarkReturns array",
            "items": {
              "type": "number"
            }
          }
        }
      }
    }
  }
}

Output

{
  "type": "object",
  "required": [
    "portfolios"
  ],
  "properties": {
    "portfolios": {
      "type": "array",
      "items": {
        "type": "object",
        "required": [
          "portfolioTrackingError"
        ],
        "properties": {
          "portfolioTrackingError": {
            "type": "number",
            "description": "The tracking error of the portfolio"
          }
        }
      }
    }
  }
}