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What is the definition for tracking error?

Written by Jake Dwyer Updated over a week ago

Rev. Date May 29, 2019 Tracking error is the divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. We display annualized tracking error on the platform as:

Reference Goodwin, Thomas H. "The information ratio." Financial Analysts Journal (1998): 34-43. This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see <a href="https://help.venn.twosigma.com/important-disclosure-and-disclaimer-information" rel="nofollow noopener noreferrer" target="_blank">Important Disclosure and Disclaimer Information</a>.

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