Abstract:The purpose of this paper is to analyze the impact upon tracking errors of timing inconsistencies in the calculation of Funds of Funds (FoF) net asset value (NAV). We examine how these timing inconsistencies produce noise in the NAV of FoF and therefore noise in the tracking error. We construct Funds of Funds and calculate NAVs of these FoF using underlying NAVs at different dates. We then compare series of tracking errors to analyze the impact of the timing inconsistencies and formalize a relation adjusting t… Show more
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