I am currently doing a master program project regarding tracking errors. My assignment is to evaluate following question:
How to find out the correlation structure of the passive (=second order/sub-classes tracking errors) tracking error? Research and summarize possible ways to analyze the correlation structure of tracking errors (Idea: Especially focus on the relationship between returns and tracking errors)
Since I found very limited literature regarding the question, I would appreciate any suggestions, literature, tips etc.
Thank you in advance.