Tracking error vs tracking difference: Does it matter?

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2020-07-02 DOI:10.1080/10293523.2020.1806480

A. Charteris, K. McCullough

引用次数: 10

Abstract

ABSTRACT Fund fact sheets are intended to provide investors with information necessary to make investment decisions. For passive funds, the inclusion of cumulative returns for the fund and benchmark enable investors to measure the fund’s tracking performance using tracking difference. However, fund managers rely on tracking error to measure tracking performance, which is rarely presented. We evaluate the differences between these two metrics to ascertain whether the use of one or the other measure by investors could impact their investment decision. Results reveal that tracking error and tracking difference capture different elements of tracking performance, with varying rankings across the two measures for a sample of United States (US) funds. The empirical findings are robust to an adjustment for serial correlation, periods of extreme market volatility and varying measurement horizons. Recommendations for industry practice are made in light of these findings.

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跟踪错误vs跟踪差异:重要吗?

摘要基金概况介绍旨在为投资者提供做出投资决策所需的信息。对于被动基金，将基金的累积回报率和基准纳入其中，使投资者能够使用跟踪差异来衡量基金的跟踪表现。然而，基金经理依靠跟踪误差来衡量跟踪业绩，这一点很少出现。我们评估了这两个指标之间的差异，以确定投资者使用其中一个或另一个指标是否会影响他们的投资决策。结果显示，跟踪误差和跟踪差异反映了跟踪绩效的不同因素，对美国基金样本的两种衡量标准的排名各不相同。实证结果对序列相关性、极端市场波动期和不同测量范围的调整是稳健的。根据这些发现提出了行业实践建议。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.