ABSTRACT Fund fact sheets are intended to provide investors with information necessary to make investment decisions. For passive funds, the inclusion of cumulative returns for the fund and benchmark enable investors to measure the fund’s tracking performance using tracking difference. However, fund managers rely on tracking error to measure tracking performance, which is rarely presented. We evaluate the differences between these two metrics to ascertain whether the use of one or the other measure by investors could impact their investment decision. Results reveal that tracking error and tracking difference capture different elements of tracking performance, with varying rankings across the two measures for a sample of United States (US) funds. The empirical findings are robust to an adjustment for serial correlation, periods of extreme market volatility and varying measurement horizons. Recommendations for industry practice are made in light of these findings.

中文翻译：

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跟踪误差与跟踪差异：这有关系吗？

摘要基金概况介绍旨在为投资者提供作出投资决定所需的信息。对于被动型基金，包括基金的累积收益和基准，使投资者能够使用追踪差异来衡量基金的追踪表现。但是，基金经理依靠跟踪误差来衡量跟踪绩效，这种情况很少出现。我们评估这两个指标之间的差异，以确定投资者使用一项或另一项指标是否会影响其投资决策。结果表明，跟踪误差和跟踪差异捕获了跟踪性能的不同元素，并且在两种衡量方式上对美国（US）基金样本的排名有所不同。实验结果对于调整序列相关性是有力的，市场剧烈波动和测量范围变化的时期。根据这些发现提出了针对行业实践的建议。