I want to find out/estimate the tracking error:
$(1/N)*Σ (R_p - 0.5b_1 -0.5 b_2)^2$
where $R_p$ is portfolio returns,
$b_1$ is benchmark one's return,
$b_2$ is benchmark two's return
The values for
$(1/N) Σ (R_p - b_1)^2$ , tracking error using benchmark one
$(1/N) Σ (R_p - b_2)^2$ , tracking error using benchmark two are available.
What other information do I need, for example like variance or covariance to solve/estimate the above equation? Thank you.