Tracking error measures how much a fund's return varies from its benchmark's, as the standard deviation of the gap between the two.
Each day, a fund's return differs a little from its benchmark's. Tracking error is the standard deviation of those differences, usually stated as a yearly figure.
For index funds and ETFs, a low tracking error means the fund copies its index closely. Gaps come from expenses, cash held to meet redemptions, the timing of trades when the index changes, and dividends waiting to be reinvested. SEBI requires index funds and ETFs to publish their tracking error and sets a ceiling of 2% a year for most of them.
A related figure is tracking difference, the actual gap between the fund's return and the index's over a period such as one year. For an index fund it is usually close to its expense ratio. Tracking error shows how much the gap varies; tracking difference shows how large it is.
For actively managed funds, tracking error shows how far the manager strays from the benchmark. A high figure means the portfolio is very different from the index, which can lead to much better or much worse results. The information ratio divides the fund's extra return by its tracking error, and R-squared gives a related view of how closely the two move.
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