Over the past 6 months, you observe the following monthly returns for an actively managed small cap
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Question:
Over the past 6 months, you observe the following monthly returns for an actively managed small cap mutual fund and for the benchmark small cap index:
Time Fund return (%) Index return (%)
1 2.79 2.3
2 1.06 1.24
3 -2.36 -2.71
4 0.18 0.66
5 -0.26 -0.7
6 2.95 2.25
What is the tracking error for the fund over this period?
PLEASE DO THE PROBLEM ON EXCEL AND SHOW THE STEPS.
The answer should be :
0.45 margin of error +/- 0.01.
Related Book For
Investment Analysis and Portfolio Management
ISBN: 978-1305262997
11th Edition
Authors: Frank K. Reilly, Keith C. Brown, Sanford J. Leeds
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