TrackingError: Calculate Tracking Error of returns against a benchmark
Description
A measure of the unexplained portion of performance relative to a benchmark.
Usage
TrackingError(Ra, Rb, scale = NA)
Arguments
Ra
an xts, vector, matrix, data frame, timeSeries or zoo object of
asset returns
Rb
return vector of the benchmark asset
scale
number of periods in a year (daily scale = 252, monthly scale =
12, quarterly scale = 4)
Author
Peter Carl
Details
Tracking error is calculated by taking the square root of the average of the
squared deviations between the investment's returns and the benchmark's
returns, then multiplying the result by the square root of the scale of the
returns.