Question: Show all work, please. (a) Compute the tracking error from the following information: Month 2001 Portfolio As Return (%) Lehman Aggregate Bond Index Return (%)

Show all work, please.

(a) Compute the tracking error from the following information:

Month 2001

Portfolio As Return (%)

Lehman Aggregate Bond Index Return (%)

January

3.15

2.65

February

1.89

- 0.10

March

1.15

0.52

April

- 0.47

- 1.60

May

1.71

0.65

June

1.10

0.33

July

1.04

2.31

August

1.70

1.10

September

0.66

1.23

October

2.15

2.02

November

- 2.38

- 1.61

December

- 0.59

- 2.20

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