Process Required In Calculating Tracking Error In Investment Algorithms
Asked By
Prenior Goal 0 points N/APosted on - 07/10/2017
For my computer science project I am studying some marketing and investment algorithms. There is the concept of calculating tracking error in that topic. Please help me understand how to calculate the error.
Process Required In Calculating Tracking Error In Investment Algorithms
The tracking error is very easy to calculate for your algorithms. You need to store some global variables in your code that will give you information about the investments.
The difference between the portfolio’s returns and the company benchmark or trading index is known as the tracking error. Hence it is also called as the active risk.
In your code, you can set the two variables are benchmark and portfolio returns.
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