Carig Evans
Country: South Africa
Affiliation: postgraduate student, University of Cape Town, Rondebosch
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Investment strategy performance under tracking error constraints
Investment Management and Financial Innovations Volume 16, 2019 Issue #1 pp. 239-257
Views: 1089 Downloads: 402 TO CITE АНОТАЦІЯRecent (2018) evidence identifies the increased need for active managers to facilitate the exploitation of investment opportunities found in inefficient markets. Typically, active portfolios are subject to tracking error (TE) constraints. The risk-return relationship of such constrained portfolios is described by an ellipse in mean-variance space, known as the constant TE frontier. Although previous work assessed the performance of active portfolio strategies on the efficient frontier, this article uses several performance indicators to evaluate the outperformance of six active portfolio strategies over the benchmark – subject to various TE constraints – on the constant TE frontier.
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