Anyone know this? I am loosing it. This should be basic right? Risk free rate of return is 5% SD of bench mark is 15% beta of bench mark is 1 rate of return for portfolio is 19.8% SD 11.9% Residual SD 11.5% Beta 0.8 What is the tracking error?

Shouldnt it be the sd of residual? Its the standard deviation of R(port) - R(Bench) so that is the residual right?

Tracking error = SQRT[(Bp - Bm)*(SDm)^2+(SDrp)^2] SDrp = S.D. of residual portfolio. This Q. is from the 2003 AM if I am not mistaken. I haven’t seen this formula this year as well as during the last year. So I would assume we don’t need to know. If you have seen it, pls. do let me know.