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Tracking Error

Tracking error is a measurement of how much the return on a portfolio deviates from the return on its benchmark index. It is the standard deviation of the differences between the return on the portfolio and the return on the benchmark; the standard deviation of the excess returns.

To find out if your firm is using population or sample statistics, please contact Tamarac Support.

The Calculation

This formula uses average active return.

When Tracking Error Uses Net or Gross Returns

On the Account Analytics report, you can control whether this calculation uses net or gross with Show Returns As (Net or Gross).

When you run composites, the Composite Statistics report reports only on gross returns. For more information, see Composite Statistics.