RelativeVolUsingCov
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Function Description
Returns the relative volatility (i.e. tracking error)
between a portfolio and a benchmark given input covariances.
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Output type / Parameter details
Output type: Double
| Parameter Name | Variable Type | Description |
| Portfolio | Double() | Array containing portfolio values / weights |
| Benchmark | Double() | Array containing benchmark values / weights |
| Covs | Double() | Array containing covariances between individual assets |
Links to:
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Interactively run function
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Interactive instructions
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Example calculation
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Output type / Parameter details
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Illustrative spreadsheet
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Other Statistical functions
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Computation units used
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