Investor Presentaiton
Appendix
Tracking Error
The differences between a portfolio return and its benchmark return over
time can be described as similar to a normal distribution with fatter tails.
Forecast tracking error can be used as a guide to understand the magnitude.
of underperformance risk.
-2 TE
-1 TE
+1 TE
+2 TE
Benchmark
Return
5% of data
points
63% of data points
90% of data points
5% of data
points
The above chart reflects 76,280 data points covering every Aperio account for every month through 7/31/2015 from Aperio's historical database
(earliest data point is October 2004). Aperio calculated each account's one-month return before fees minus the benchmark's one-month return,
and then divided by the forecast tracking error at the beginning of each month.
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