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Minimum Tracking Error Volatility

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  • Luca RICCETTI

    ()
    (Universita' Politecnica delle Marche, Dipartimento di Economia)

Abstract

Investors assign part of their funds to asset managers that are given the task of beating a benchmark. The risk management department usually imposes a maximum value of the tracking error volatility (TEV) in order to keep the risk of the portfolio near to that of the selected benchmark. However, risk management does not establish a rule on TEV which enables us to understand whether the asset manager is really active or not and, in practice, asset managers sometimes follow passively the corresponding index. Moreover, the benchmark is sometimes difficult to be beaten when the risk managers only check that portfolio managers do not exceed a fixed level of relative risk. I derive analytical methods that could be used to understand whether the strategy used by the portfolio manager is active that allows him/her to have an excess return above the benchmark large enough to cover the commission paid by investors and, concurrently, that allows him/her to restrict the portfolio's variance to be not more than the benchmark's variance in order to avoid an excess return merely due to a higher risk level (using variance as risk indicator). These equations are a necessary (but not suffiient) condition to beat the benchmark's return, without increasing the overall variance of the portfolio. This is also a generalization of the model of Jorion (2003) with the use of commissions. I apply these equations to an Italian liquidity fund and I find that the fees are too high and the TEV is low. In fact, all the funds in the liquidity category show similar problems that often render the portfolio unable to cover the fees without increasing the variance.

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Paper provided by Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali in its series Working Papers with number 340.

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Length: 24
Date of creation: Apr 2010
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Handle: RePEc:anc:wpaper:340

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Keywords: Active Management; Benchmarking; Commissions; Portfolio Choice; Risk Management; Tracking Error;

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  6. Lenzu, Simone & Tedeschi, Gabriele, 2012. "Systemic risk on different interbank network topologies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4331-4341.
  7. Fabio FIORILLO & Agnese SACCHI, 2010. "I Want to Free-ride. An Opportunistic View on Decentralization Versus Centralization Problem," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 346, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  8. Luca RICCETTI, 2011. "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. Alessandro STERLACCHINI, 2012. "Patent Oppositions as Competitive Tools: An Analysis of the Major Players in the European Market of White Goods," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 374, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  10. Ugo FRATESI, 2010. "The National and International Effects;of Regional Policy Choices: Agglomeration Economies, Peripherality and Territorial Characteristics," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali 344, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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