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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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Bibliographic Info

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
Date of revision:
Handle: RePEc:anc:wpaper:340

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

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  2. Elena AMBROSETTI & Eralba CELA & Tineke FOKKEMA, 2011. "The Remittances Behaviour of the Second Generation in Europe: Altruism or Self-Interest?," Working Papers 368, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  3. Eralba CELA & Tineke FOKKEMA & Elena AMBROSETTI, 2012. "Links Between Transnationalism Integration and Duration of Residence: The Case of eastern European Migrants in Italy," Working Papers 386, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  4. Luca RICCETTI, 2011. "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers 355, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  5. Giulio PALOMBA & Luca RICCETTI, 2011. "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers 358, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  6. Alberto Russo, 2014. "A Stochastic Model of Wealth Accumulation with Class Division," Metroeconomica, Wiley Blackwell, vol. 65(1), pages 1-35, 02.
  7. Ruggero GRILLI & Gabriele TEDESCHI & Mauro GALLEGATI, 2012. "Markets connectivity and financial contagion," Working Papers 382, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  8. Alessandro STERLACCHINI, 2012. "Patent Oppositions as Competitive Tools: An Analysis of the Major Players in the European Market of White Goods," Working Papers 374, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  9. Fabio FIORILLO & Agnese SACCHI, 2010. "I Want to Free-ride. An Opportunistic View on Decentralization Versus Centralization Problem," Working Papers 346, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  10. Luca RICCETTI, 2010. "Minimum Tracking Error Volatility," Working Papers 340, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  11. Ugo FRATESI, 2010. "The National and International Effects;of Regional Policy Choices: Agglomeration Economies, Peripherality and Territorial Characteristics," Working Papers 344, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.

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