RT Journal Article
SR Electronic
T1 Understanding Tracking Error and Its Relationship with VaR
JF The Journal of Investing
FD Institutional Investor Journals
SP 54
OP 60
DO 10.3905/joi.2001.319473
VO 10
IS 3
A1 Brian Fischer
YR 2001
UL https://pm-research.com/content/10/3/54.abstract
AB Whether they are aware of it or not, benchmarked investors have adopted the concepts imbedded in VaR when they calculate tracking error. Unfortunately, tracking error calculations are prone to misinterpretation and miscalculation. This article highlights some of the problems associated with the use of VaR concepts by benchmarked investors and offers some potential solutions.