How Much Error Is in the Tracking Error? The Impact of Estimation Risk on Fund Tracking Error
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| Udgivet i: | Journal of Portfolio Management vol. 41, no. 2 (Winter 2015), p. 84-100 |
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Pageant Media
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| Online adgang: | Citation/Abstract Full Text Full Text - PDF |
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| 100 | 1 | |a Woodgate, Artemiza | |
| 245 | 1 | |a How Much Error Is in the Tracking Error? The Impact of Estimation Risk on Fund Tracking Error | |
| 260 | |b Pageant Media |c Winter 2015 | ||
| 513 | |a Feature | ||
| 520 | 3 | |a The authors explain optimized portfolios' poor out-of-sample performance (to minimize tracking error relative to a given benchmark, while achieving a specified expected excess return) in the presence of estimation error in the underlying asset means and covariances. The theoretical bias adjustments for this estimation risk developed by the authors involves taking mathematical expectations of asymptotically expanded future returns of portfolios formed with estimated weights. They provide closed-form adjustments for estimates of the expectation and standard deviation of the portfolio's excess returns. The adjustments significantly reduce bias in global equity portfolios, reduce the costs of rebalancing portfolios, and are robust to sample size and non-normality. By using these approximation methods before investing, it may be possible to assess the effect of statistical estimation error on tracking-error-optimized portfolio performance. | |
| 653 | |a Studies | ||
| 653 | |a Estimation bias | ||
| 653 | |a Portfolio performance | ||
| 653 | |a Rates of return | ||
| 653 | |a Approximation | ||
| 653 | |a Standard deviation | ||
| 653 | |a Noise | ||
| 653 | |a Random variables | ||
| 653 | |a Estimates | ||
| 653 | |a Expected values | ||
| 653 | |a Optimization | ||
| 653 | |a Bias | ||
| 653 | |a Investors | ||
| 700 | 1 | |a Siegel, Andrew F | |
| 773 | 0 | |t Journal of Portfolio Management |g vol. 41, no. 2 (Winter 2015), p. 84-100 | |
| 786 | 0 | |d ProQuest |t ABI/INFORM Global | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/1654734767/abstract/embedded/7BTGNMKEMPT1V9Z2?source=fedsrch |
| 856 | 4 | 0 | |3 Full Text |u https://www.proquest.com/docview/1654734767/fulltext/embedded/7BTGNMKEMPT1V9Z2?source=fedsrch |
| 856 | 4 | 0 | |3 Full Text - PDF |u https://www.proquest.com/docview/1654734767/fulltextPDF/embedded/7BTGNMKEMPT1V9Z2?source=fedsrch |