Tracking Error

lanzani.juli

I am trying to get the tracking error item ("TR.FundTrackingError1Year") taken from the data item browser over an extended period

The code below just gives me the last available value for item "TR.FundTrackingError1Year".

1. Is there a way to obtain the time series? I think "TR.FundTrackingError1Year" is just a static value?
2. Which formula has been used to obtain the "TR.FundTrackingError1Year", haven't been able to reproduce the results

ric = ['IVV','SPY'] # example
fields = ["TR.CUSIP", "TR.FundTrackingError1Year"]
params = {'DateType': 'XD', 'SDate' : '1993-01-01', 'EDate' : '2023-12-31'}
fund_data = rd.get_data(ric,fields, params)

bob.lee

Hi @lanzani.juli, As @raksina.samasiri pointed out, if you need the formula or business rules, it is better to raise to the customer support. For you questions about the time-series availability, I think you mean the historical data, and that is only available on the Lipper for Investment Management (Lipper IM) desktop services at this stage. Because Lipper IM use the user's calculation parameters, including time periods settings, to calculate the results on-the-fly.

About the formula, Lipper should be using the standard formular for Tracking Error and it uses "log returns" for the calculation by default. I got the values in Lipper IM that matches the Workspace API which is as of end of June. So, it is the latest 1-year period as of the latest month-end.

The value I got for the IVV is 0.002869552. Using the Audit Details in Lipper IM shows me the formula that it uses monthly "excess return" (monthly total return of the fund - monthly total return of the benchmark index). Then the result is just the standard deviation (sample) for these 12 data points.