Measures for ELBENCHMARKMEASURE
The keys in the next table present the possible types of risk figures which could be used in the generic ELBENCHMARKMEASURE function.
Note: the letter case has no influence on the functions.
| Key | Description |
|---|---|
| tracking-error | returns the tracking error of a portfolio to a benchmark |
| l2-distance | returns the euclidian distance between the portfolio and benchmark returns |
| beta | returns the linear relationship between the portfolio and the benchmark returns. If the benchmark return increases by 1 unit, the portfolio return will increase by beta. |
| correlation | returns the correlation between the portfolio and the benchmark. |