Sustainable Investing: Investment performance
Explanations, applications and practice for investment performance.
- Formulas
Sample tracking error: deviations of active returns
Distinguish sample tracking error from mean active return and root mean square deviation.
- Tools
Tracking error calculator
Calculate sample tracking error from paired portfolio and benchmark returns.
- Worked examples
Annualizing monthly tracking error: why the square root appears
Derive the square-root-of-12 calculation and identify its covariance assumption.