Consider the summary report for 100 Bond Portfolio as shown in the table below Portfolio Benchmark Tracking error Coupon ( ) 3 2 8 Spread (bps) 99 78 Duration 6 5 8 Vega 0 03 0 027 Systematic (bps month) 121 117 3 2 Idiosyncratic (bps month) 8 4 5 0 6 What is the portfolio tracking error ...

12 Tracking error Square rod systematic bp3m1 ...

Consider the summary report for 100-Bond Portfolio as shown in the table below: Portfolio Benchmark Tracking error

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Consider the summary report for 100-Bond Portfolio as shown in the table below:

	Portfolio	Benchmark	Tracking error
Coupon (%)	3%	2.8%
Spread (bps)	99	78
Duration	6	5.8
Vega	-0.03	-0.027
Systematic (bps/month)	121	117	3.2
Idiosyncratic (bps/month)	8.4	5.0	6

What is the portfolio tracking error?

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Income Tax Fundamentals 2013

ISBN: 9781285586618

31st Edition

Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill

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Posted Date: May 16, 2023 07:31 AM

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Consider the summary report for 100-Bond Portfolio as shown in the table below: Portfolio Benchmark Tracking error

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Income Tax Fundamentals 2013

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