Indexation and Tracking Errors

Index tracking is possibly the most popular form of passive fund management. Tracking errors summarize the extent to which an index fund is able to accurately track a benchmark index. Although it is common both in academic studies and in the financial practice to choose quadratic tracking error measures, we argue that linear tracking error measaures give a more accurate description of the investors' risk...

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Year of publication:	2001-06-01
Authors:	Rey, David Michael ; Seiler, Daniel
Institutions:	Universität <Sankt Gallen>
Published in:	WZ - Department of Finance - Publications WWZ/Department of Finance, Working Paper No. 2/01
Subject:	Index \| Portfoliomanagement \| portfolio management \| Benchmark

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Extent:	424960 bytes 34 p. application/pdf
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Reports, Studies ; Global Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005866750