PT  - JOURNAL ARTICLE
AU  - Artemiza Woodgate
AU  - Andrew F. Siegel
ED  - Mack, Barbara J.
TI  - Practical Applications of How Much Error Is in the Tracking Error: <em>The Impact of Estimation Risk on Fund Tracking Error</em>
AID  - 10.3905/pa.2015.3.1.116
DP  - 2015 Jul 31
TA  - Practical Applications
PG  - 1--4
VI  - 3
IP  - 1
4099  - https://pm-research.com/content/3/1/1.12.short
4100  - https://pm-research.com/content/3/1/1.12.full
AB  - How Much Error Is in the Tracking Error: The Impact of Estimation Risk on Fund Tracking Error Artemiza Woodgate Andrew F Siegel Evaluating portfolio performance through comparison with benchmarks is a classic technique in modern finance. However, biases can impact expectations on excess return and tracking error, particularly in portfolios constructed using mean-variance optimization.In this report, Artemiza Woodgate, a Senior Research Analyst at Russell Investments , and Andrew Sieg el, the Grant I. Butterbaugh Professor at the University of Washington’s Foster School of Business , tell us how to combat statistical errors in performance analysis and describe their approach to reducing the influence of noisy estimates.