Concepedia

Benchmark Tracking Error

Benchmark Tracking Error is a statistical metric in investment analysis that quantifies the standard deviation of the difference between the returns of a mutual fund and those of its designated benchmark index, serving as a measure of the fund's performance consistency relative to its benchmark.

34

Publications

2.3K

Citations

67

Authors

44

Institutions

Publications per year

2017–2026

6

Variants

Tracking Error

Parents

Publications

34

A Mean/Variance Analysis of Tracking Error

Richard Roll · The Journal of Portfolio Management · 1992 · 764 citations

, , +17

Portfolio Optimization with Tracking-Error Constraints

Philippe Jorion · Financial Analysts Journal · 2003 · 248 citations

, , +17

Tracking S&P 500 Index Funds

Alex Frino, David R. Gallagher · The Journal of Portfolio Management · 2001 · 202 citations

, , +17

Optimal portfolio selection and dynamic benchmark tracking

Alexei A. Gaivoronski, Sergiy Krylov, Nico van der Wijst · European Journal of Operational Research · 2004 · 141 citations

, , +14

Optimal Benchmark Tracking with Small Portfolios

R Jansen, Ronald van Dijk · The Journal of Portfolio Management · 2002 · 102 citations

, , +16

1–5 of 34

Authors

67

  1. NA
    Noël Amenc

    Ecole des Hautes Etudes Commerciales du Nord, France

    2 publications · 81 citations

    2

    h-index

  2. KM
    Kerry McCullough

    University of KwaZulu-Natal, South Africa

    2 publications · 27 citations

    2

    h-index

  3. GG
    Gerasimos G. Rompotis

    National and Kapodistrian University of Athens, Greece

    2 publications · 90 citations

    2

    h-index

  4. EK
    Evis Këllezi

    University of Geneva, Switzerland

    2 publications · 28 citations

    2

    h-index

  5. JV
    Jan van den Berg

    Delft University of Technology, Netherlands

    2 publications · 41 citations

    2

    h-index

1–5 of 67

Institutions

44

  1. University of KwaZulu-Natal

    Durban, South Africa

    2 h-index

    4 publications

    53 citations

  2. Ecole des Hautes Etudes Commerciales du Nord

    Roubaix, France

    2 h-index

    6 publications

    243 citations

  3. National and Kapodistrian University of Athens

    Athens, Greece

    2 h-index

    2 publications

    90 citations

  4. University of Geneva

    Geneva, Switzerland

    2 h-index

    3 publications

    46 citations

  5. North-West University

    Potchefstroom, South Africa

    1 h-index

    4 publications

    48 citations

  6. University of California, Los Angeles

    Los Angeles, United States

    1 h-index

    1 publications

    764 citations

  7. UNSW Sydney

    Sydney, Australia

    1 h-index

    3 publications

    60 citations

  8. Yale University

    New Haven, United States

    1 h-index

    1 publications

    50 citations

1–8 of 44

Venues

  1. The Journal of Portfolio Management

    JPM · 6 publications · 1.2K citations

    6

    h-index

  2. SSRN Electronic Journal

    Repository · 5 publications · 77 citations

    5

    h-index

  3. Financial Analysts Journal

    FAJ · 3 publications · 387 citations

    3

    h-index

  4. Investment Analysts Journal

    2 publications · 27 citations

    2

    h-index

  5. Studies in Economics and Finance

    1 publications · 64 citations

    1

    h-index

1–5