3. Suppose that a manager whose benchmark is the S&P 500 pursues an enhanced indexing strategy allocating

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3. Suppose that a manager whose benchmark is the S&P 500 pursues an enhanced indexing strategy allocating 10% of the portfolio to be actively managed and 90% indexed. Assume further that the tracking error of the actively managed portion is 12% with respect to the S&P 500. What is the portfolio’s tracking error?

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Equity Valuation And Portfolio Management

ISBN: 9780470929919

1st Edition

Authors: Frank J. Fabozzi, Harry M. Markowitz

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