Download several years (1-2) of SPY. Find two (2) other ETFs that track it. (5 points)
Compute the returns, active returns, and average active return. (5 points)
Compute the tracking error and mean-adjusted tracking error. (5 points)
Which ETF tracks the SPY better? (2 points)
Download the Select SPDR funds (tickers = XLB, XLE, XLEF, XLI, XLK, XLP, XLRE, XLU, XLV, XLY) over the same time period as you did for SPY. (5 points)
Compute the returns. (5 points)
Write a function that computes active return internally, and uses that to compute the Mean-Adjusted Tracking Error (10 points)
Determine which single sector fund best tracks the SP500. (3 points)
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