TY - JOUR T1 - A Mean/Variance Analysis of Tracking Error JF - The Journal of Portfolio Management SP - 13 LP - 22 DO - 10.3905/jpm.1992.701922 VL - 18 IS - 4 AU - Richard Roll Y1 - 1992/07/31 UR - https://pm-research.com/content/18/4/13.abstract N2 - Investment managers are often hired to produce positive return performance over a benchmark index while keeping tracking error volatility to a minimum. This article provides the exact composition of the particular portfolio for the manager who faithfully adheres to this strategy. Usually the selected portfolio will not be total return mean/variance efficient. It will have a beta greater than 1.0 and cannot dominate the benchmark by having a lower total volatility and a higher expected return. Constraining the beta can improve the managed portfolio. ER -