What are some limitations of using expected tracking error

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Tracking error-the standard deviation of active returns-is a common measure of a portfolio's ex ante risk.

What are some limitations of using expected tracking error to measure the ex ante risk of an equity portfolio?

When developing an equity factor risk model, why is it a good idea to include all of the return variables (the variables used to calculate stocks' alphas) as factors in the risk model?

Reference no: EM131279772

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