PgpmTrackingErrorPopulation
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Function Description
Returns the tracking error (relative to the median) of a
specified fund in a specified (pre-loaded) peer group performance dataset, i.e.
the volatility of relative returns. Relative returns may be calculated
arithmetically, geometrically or logarithmically, see RelativeReturnComputations.
Two variants are provided, one calculating the tracking
error using sample standard deviations (MnPgpmTrackingErrorSample)
and one using population standard deviations (this one).
Note: The input period start/ends need to be consecutive,
e.g. if there are two periods with the first one from 1 Jan 2000 to 31 Dec 2000
and the second from 1 Jan 2001 to 31 Dec 2001 then these should be passed as an
array with three entries, 31 Dec 1999, 31 Dec 2000 and 31 Dec 2001 in that
order. The sizes/format of the arrays passed as parameters for this web
function as specified below assume that the number of Funds is 
and
the number of consecutive periods is 
. Return data
should be passed with the consecutive returns for the same fund in a single
block, i.e. all of the first fund’s returns, followed by all of the second
fund’s returns etc. If a fund does not have a return for a given period (e.g.
the fund did not exist for the whole of the period) then use for that fund for
that period the ReturnInvalidCode. When calculating per group level
statistics, e.g. percentiles and median, funds that did not have a return for a
given period are excluded.
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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| FundNames | String() | Names of funds in peer group (m terms) |
| PeriodStartEnds | Date() | Array containing (in sequential order) start and end dates (n+1 terms) |
| Returns | Double() | Array containing returns (m x n terms) |
| ReturnInvalidCode | Double | Value that if appears in Returns indicates return for that fund and period doesn't exist |
| FundName | String | Name of Fund |
| StartDate | Date | Start of period over which return to be computed |
| EndDate | Date | End of period over which return to be computed |
| ComputationType | Integer | Computation type (0=arithmetic, 1=geometric, 2=logarithmic) |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Performance measurement functions
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Computation units used
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