This paper describes a new theoretical bound on performance for tracking in a dense multiple target environment with clutter, false alarms, missed detections, target maneuvers, etc. It is a Cramer-Rao bound on the estimation error covariance matrix. In contrast to the recent bound reported elsewhere, the bound described in this paper requires no Monte Carlo simulation. The new bound is based on Kamen's formulation of the multiple target tracking (MTT) problem as a nonlinear estimation problem. Kamen's model of MTT eliminates the combinatorial aspect of the problem, and replaces it with an analytical problem, which allows the use of the Cramer-Rao bound.