search query: @author Sefton, J. / total: 5
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Author: | Scowcroft, A. Sefton, J. |
Title: | Do tracking errors reliably estimate portfolio risk? |
Journal: | Journal of asset management
2001 : DEC, VOL. 2:3, p. 205-222 |
Index terms: | |
Freeterms: | Tracking errors Portfolio management Share price volatility |
Language: | eng |
Abstract: | The aim of this paper is to assess whether tracking errors have historically accurately quantified these levels of risk in the United Kingdom. The results suggest that over the short-term horizons, tracking errors have performed reasonably well, but over the longer-term horizons, they have tended to underestimate risk. |
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