Datastore Tracking Error¶
The Datastore Tracking Error worker calculates the divergence between the price behavior of a portfolio and a benchmark — often indicating how effectively a fund tracked its target — and returns the results as a datastore.
Parameters¶
Input¶
| Field | Description |
|---|---|
| Portfolio | The target portfolio. Accepts Fixed Portfolio, Get Latest, or Upstream Data |
| Workspace | Workspace of the target portfolio. Accepts Fixed Workspace. Defaults to the current workspace |
| Benchmark Portfolio | The portfolio used as the benchmark for deviation calculations. Accepts Fixed Portfolio, Get Latest, or Upstream Data |
| Benchmark Workspace | Workspace of the benchmark portfolio. Accepts Fixed Workspace. Defaults to the current workspace |
| Tracking Error | Whether to calculate daily tracking error at the Security, Portfolio, and/or Correlation level. Accepts Boolean |
| Tracking Error Weekly | Whether to calculate weekly tracking error at the Security, Portfolio, and/or Correlation level. Accepts Boolean |
Output¶
| Field | Description |
|---|---|
| Name | Name of the output datastore. Accepts Template Text or Upstream Data. Defaults to the portfolio name |
| Date | Date of the output datastore. Accepts Fixed Date or Upstream Data. Defaults to the portfolio date |
| Workspace | Workspace where the output datastore will be saved. Accepts Fixed Workspace. Defaults to the portfolio workspace |
| Tags | Tags for the output datastore. Accepts Fixed Tags or Upstream Data. Defaults to the portfolio tags |
| Storage Mode | Transient — exists only within the current workflow run (default); Create — saves the datastore to the platform |
Advanced¶
| Field | Description |
|---|---|
| Header Suffix | Suffix appended to the end of specific column names in the output datastore. Accepts Template Text or Upstream Data |
| Days | Number of historical business days used in the daily calculation. Default is 252 |
| Weeks | Number of historical weeks used in the weekly calculation. Default is 200 |
| Exponential Decay | Weighting factor for the EWMA calculation. Only applied when EWMA is enabled. Default is 0.94 |
| EWMA | Whether to apply exponentially weighted moving average to the calculation. Accepts Boolean. Default is false |
Result¶
Once the worker finishes successfully, it returns a result object containing the datastore.
- Datastore (datastore)
- ID (string)
- Name (string)
- Date (date)
- Tags (list of strings)
- Data (list of lists)
The Data component includes the following columns:
port_tesec_teport_corrport_te_weeklysec_te_weeklyport_corr_weekly