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The Tracking Error, measuring the distribution of the expected returns (performance) of a portfolio relative to its benchmark, is a key measure for a professionally managed fund with a market benchmark. It represents the relative risk that a manager is taking and can be either too low or too high, depending on the mandate.

Comprehensive coverage

Excerpt reports ex-ante tracking error for equity, bond, derivative based and multi-asset portfolios. Coverage is global and multi-currency. There are few mainstream portfolios that are outside the scope of Excerpt’s instrument universe.

Highly customiseable

Tracking error can be calculated based on a standard time period against a common benchmark, or based on a user-defined time-period or scenario against a custom benchmark. In all cases the system reports ex-ante tracking error, volatility and the breakdown between systemic and specific risk.

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