s? 5             tn o LU 4 o> =   n       _-.------- ■= 3             Date ---------- Predicted TE 20-Day TE 60-Day TE FIGURE 17.5 Example of Rolling 20- and 60-Day Tracking Errors (Annualized) event is very high, one would expect a very narrow green zone and quite wide yellow and red zones. In this case, one would expect to find more false positives, which are by-products of the policy's conservatism. 4. The results of the green zone analysis are summarized in a document of the form shown in Figure 17.6. What follows is a brief description of this document excerpted from the article entitled The Green Zone . . . Assessing the Quality of Returns. [In Figure 17.6] we show an example of a portion of one of our weekly performance reports (using hypothetical products). This report, known internally as the "green sheet," has columns that are color-coded for easy recognition of signals of tracking error concerns. For example, we have defined the green zone for a hypothetical set of U.S. equity portfolios, including all ratios of realized 20-day tracking error to target between .7 and 1.4, and have defined the red zone as ratios below . 6 or above 2. For the 60-day         (.■m'isi-J^-.^ Ai ■ jlin'il TimiIlIiis F 11! I                 Ill 11 ! I [J illli 1 ,/ T.W0D limt 1 f   II 11 t 1 ^Flt P [ h. . , " 1 * ' 1 ,   , 1     It il   1     f     i     " It !>   1 ll .-4 [ , 1     !       .1 li       *       4 4     FIGURE 17.6 Representative Green Sheet Note: This chart is to be used for illustrative purposes only. These are not, and should not be viewed as, predictions or projections of future returns of those classes of assets or any investments, including any fund or separate account managed by GSAM, Goldman Sachs & Co., or any other brokerage account.