Hot answers tagged tracking-error
This appears to be the same thing, however, in the former case, the benchmark is the FF-Model. This means you assume the model stated in their eq. 9 is correct (as per your regression), and use the vol of the residuals as TE. They go on and explain: The volatility of the residuals in equation  is a measure of idiosyncratic (non-systematic) risk.20 ...
Only top voted, non community-wiki answers of a minimum length are eligible