How much tracking error do I have versus my benchmark?
A performance question asks what a portfolio has actually returned. The answer keeps the money you paid in apart from the money the investments made, which is why a time-weighted and a money-weighted return can differ so much on the same account.
Worked through on a sample portfolio. The figures below are that portfolio’s, not yours.
I can report tracking error only if your portfolio return series and the benchmark returns are available. Your data shows month-by-month portfolio returns alongside the benchmark returns for the same periods. Using those snapshots, Floreo calculates tracking error as the standard deviation of the difference between your portfolio's periodic returns and the benchmark's returns.
Here are the inputs available from your return snapshots:
- Monthly portfolio time-weighted returns are in the period list.
- The benchmark is "HSBC MSCI World UCITS ETF" (IE00B4X9L533) with its monthly return_pct in each snapshot.
I don't see a pre-computed tracking error value in the data returned for this turn. If you want, I can calculate tracking error now from the monthly snapshots you have—do you want the result annualized (p.a.) or expressed as monthly standard deviation?
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See this for your own portfolio
The assistant answers the same question about your own holdings, with your figures and today’s prices. Import from your broker, or open the demo portfolio and ask it there.