%0 Journal Article %A Richard Roll %T A Mean/Variance Analysis of Tracking Error %D 1992 %R 10.3905/jpm.1992.701922 %J The Journal of Portfolio Management %P 13-22 %V 18 %N 4 %X 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. %U https://jpm.pm-research.com/content/iijpormgmt/18/4/13.full.pdf