a. Compute the tracking error from the fol- lowing information:

client-specified bond index. Explain why you agree or disagree with the portfolio manager's statement that the portfolio strategy is a conservative one.AppendixLO1

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Lehman Aggregate Portfolio A's Bond Index Month 2001 Return (%) Return (%) Jan 2.15 1.65 Feb 0.89 -0.10 March 1.15 0.52 April -0.47 -0.60 May 1.71 0.65 June 0.10 0.33 July 1.04 2.31 Aug 2.70 1.10 Sept 0.66 1.23 Oct 2.15 2.02 Nov -1.38 -0.61 Dec -0.59 -1.20