pt.te {YRmisc}

Tracking error

Description

Tracking error, in finance, is a measure of risk in a portfolio that is due to active management decisions made by the manager. It indicates how closely the portfolio follows the benchmark of choosing.

Usage

pt.te(pr,br)

Arguments

pr

:portfolio return

br

:benchmark return

Examples

prtn <- runif(12,-1,1)
brtn <- runif(12,-1,1)
pt.te(prtn,brtn)