Tracking Error¶

Tracking error is the divergence between the price behavior of a position or a portfolio and the price behavior of a benchmark. This is often in the context of a hedge fund, mutual fund, or exchange-traded fund (ETF) that did not work as effectively as intended, creating an unexpected profit or loss.

HTTP Request

POST /calculations/marginal_tracking_error

HTTP Parameters

Parameter	Description
`portfolio1` string	REQUIRED The portfolio to be analyzed.
`portfolio2` string	REQUIRED The portfolio used as a benchmark to calculate deviations or differences.
`weekly` boolean	optional, default is `True` If `True`, the Calculation API uses weekly returns to calculate the tracking error.
`EWMA` boolean	optional, default is `False` If `True`, the exponentially weighted moving average will be applied to volatilities.
`exponential_decay` float	optional, default is `0.94` Weighting factor that determines the rate at which older data enters the `EWMA` calculation. Accepts float values from `0` to `1`. Only used when `EWMA` is `True`.
`nDays` integer	optional, default is `252` Number of historical business days used in the calculation when `weekly` is `False`.
`nWeeks` integer	optional, default is `200` Number of historical weeks used in the calculation when `weekly` is `True`.

To calculate the tracking errors, run the following:

Curl

curl https://api.everysk.com/v2/calculations/marginal_tracking_error \
  -H "Content-Type: application/json" \
  -H "Authorization: Bearer <ACCESS_TOKEN>" \
  -d '{
          "securities1": [
            {
              "id": "id1",
              "symbol": "AAPL",
              "quantity": 1000.0
            },
            {
              "id": "id2",
              "symbol": "MSFT",
              "quantity": 500.0
            }
          ],
          "securities2": [
            {
              "id": "id3",
              "symbol": "SPY",
              "quantity": 1000.0
            }
          ],
          "weekly": false
      }' \
  -X POST

The above call returns the following JSON object:

{
  "marginal_tracking_error": {
    "unmapped_tickers": [],
    "results": {
      "mcte": {
        "id1": 0.005884471459323663,
        "id2": 0.006365037307355700
      },
      "te": 0.008751094213396014,
      "corr": 0.8394975109763287
    }
  }
}