TrackingError: Calculate Tracking Error of returns against a benchmark
Description
A measure of the unexplained portion of performance
relative to a benchmark.
Usage
TrackingError(Ra, Rb, scale = NA)
Arguments
Ra
an xts, vector, matrix, data frame, timeSeries
or zoo object of asset returns
Rb
return vector of the benchmark asset
scale
number of periods in a year (daily scale =
252, monthly scale = 12, quarterly scale = 4)
Details
Tracking error is calculated by taking the square root of
the average of the squared deviations between the
investment's returns and the benchmark's returns, then
multiplying the result by the square root of the scale of
the returns.