Struct TrackingError 

pub struct TrackingError { /* private fields */ }

Calculates the tracking error of portfolio returns relative to a benchmark.

Tracking error is the volatility of the active return (portfolio minus benchmark):

TE = std(active) * sqrt(period)

where active_i = portfolio_i - benchmark_i, std uses Bessel’s correction (ddof = 1), and the result is annualized by the square root of the specified period (default: 252 trading days).

References

• Roll, R. (1992). “A Mean/Variance Analysis of Tracking Error”. Journal of Portfolio Management, 18(4), 13-22.
• CFA Institute Investment Foundations, 3rd Edition

Implementations

impl TrackingError

pub fn new(period: Option<usize>) -> Self

Creates a new TrackingError instance.

Trait Implementations

impl Clone for TrackingError

fn clone(&self) -> TrackingError

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for TrackingError

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Display for TrackingError

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl PortfolioStatistic for TrackingError

type Item = f64

fn name(&self) -> String

Returns the name of this statistic for display and identification purposes.

fn calculate_from_returns(&self, _returns: &Returns) -> Option<Self::Item>

Calculates the statistic from time-indexed returns data.

fn calculate_from_realized_pnls( &self, _realized_pnls: &[f64], ) -> Option<Self::Item>

Calculates the statistic from realized profit and loss values.

fn calculate_from_positions( &self, _positions: &[Position], ) -> Option<Self::Item>

Calculates the statistic from position data.

fn calculate_from_returns_with_benchmark( &self, returns: &Returns, benchmark: &Returns, ) -> Option<Self::Item>

Calculates the statistic from time-indexed strategy returns relative to a benchmark.

fn calculate_from_orders( &self, orders: Vec<Box<dyn Order>>, ) -> Option<Self::Item>

Calculates the statistic from order data.

fn align_returns(&self, a: &Returns, b: &Returns) -> (Vec<f64>, Vec<f64>)

Aligns two returns series onto a common daily grid.

fn check_valid_returns(&self, returns: &Returns) -> bool

Validates that returns data is not empty.

fn downsample_to_daily_bins(&self, returns: &Returns) -> Returns

Downsamples high-frequency returns to daily bins by geometric compounding.

fn calculate_std(&self, returns: &Returns) -> f64

Calculates the standard deviation of returns with Bessel’s correction.