Question
Consider the summary report for 100-Bond Portfolio as shown in the table below: Portfolio Benchmark Tracking error Coupon (%) 3% 2.8% Spread (bps) 99 78
- Consider the summary report for 100-Bond Portfolio as shown in the table below:
| Portfolio | Benchmark | Tracking error |
Coupon (%) | 3% | 2.8% |
|
Spread (bps) | 99 | 78 |
|
Duration | 6 | 5.8 |
|
Vega | -0.03 | -0.027 |
|
Systematic (bps/month) | 121 | 117 | 3.2 |
Idiosyncratic (bps/month) | 8.4 | 5.0 | 6 |
- What is the portfolio tracking error?
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
