Index Tracking
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Optimization Methods For Financial Index Tracking
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Author : Konstantinos Benidis
language : en
Publisher:
Release Date : 2018
Optimization Methods For Financial Index Tracking written by Konstantinos Benidis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Finance categories.
Index tracking is a very popular passive investment strategy. Since an index cannot be traded directly, index tracking refers to the process of creating a portfolio that approximates its performance. A straightforward way to do that is to purchase all the assets that compose an index in appropriate quantities. However, to simplify the execution, avoid small and illiquid positions, and large transaction costs, it is desired that the tracking portfolio consists of a small number of assets, id est, we wish to create a sparse portfolio. Although index tracking is driven from the financial industry, it is in fact a pure signal processing problem: a regression of the financial historical data subject to some portfolio constraints with some caveats and particularities. Furthermore, the sparse index tracking problem is similar to many sparsity formulations in the signal processing area in the sense that it is a regression problem with some sparsity requirements. In its original form, sparse index tracking can be formulated as a combinatorial optimization problem. A commonly used approach is to use mixed-integer programming (MIP) to solve small sized problems. Nevertheless, MIP solvers are not applicable for high-dimensional problems since the running time can be prohibiting for practical use. The goal of this monograph is to provide an in-depth overview of the index tracking problem and analyze all the caveats and practical issues an investor might have, such as the frequent rebalancing of weights, the changes in the index composition, the transaction costs, et cetera Furthermore, a unified framework for a large variety of sparse index tracking formulations is provided. The derived algorithms are very attractive for practical use since they provide efficient tracking portfolios orders of magnitude faster than MIP solvers.
Portfoliomanagement
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Author : Klaus Grobys
language : en
Publisher: BoD – Books on Demand
Release Date : 2009
Portfoliomanagement written by Klaus Grobys and has been published by BoD – Books on Demand this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
Peter Norman, who is in the head management of Sjunde AP-fonden, which is one of the five largest pension funds in Sweden and accounts for 66 milliard Swedish crones, admits that they have decided to employ passive Index-Tracking strategies, because they expect to receive a higher profit by investing in passive strategies. Sidea [2009], who works as editor of the magazine Veckans Affärer, argues that traditional active funds management is built on the management's analysis to figure out and invest in stocks which are underpriced. Considering this, these strategies are built on expectations which may be quite different from each other. This relatively expansive sort of active management needs a high degree of analyst competence, forecast making and trading which involve clearly high costs. This book presents an overview about passive Index-Tracking Strategies as well as an empirical application. The reader will be able to understand the discussed methods and be able to construct strategies of their own, too. Apart from traditional strategies, Klaus Grobys presents the application of more sophisticated models based on cointegration theory as well as a new Pricing model, introduced in his academic final thesis at the University of Kiel.
The Index Tracking Strategies Of Passive And Enhanced Index Equity Funds
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Author : Alex Frino
language : en
Publisher:
Release Date : 2008
The Index Tracking Strategies Of Passive And Enhanced Index Equity Funds written by Alex Frino and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This study represents the first empirical examination of the daily trading and portfolio configuration strategies of index and enhanced index equity funds. We find index and enhanced funds earn returns and exhibit risk commensurate with underlying indices. Relative to index funds, enhanced index funds are found to incur lower trading costs. We document that index and enhanced index funds experience significantly higher trade difficulty during index revision periods. In terms of portfolio configuration, in cases where index and enhanced funds do not perfectly mimic the underlying benchmark, both fund types exhibit a greater propensity to overweight stocks with higher liquidity, larger market capitalization and higher past performance. Similar criteria are also documented for enhanced funds' holdings outside the benchmark. For non-index constituents, enhanced funds exhibit a higher propensity to ride 'winners' and sell 'losers'
Etf Index Tracking Portfolio Selection For Idx
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Author : Da Gomez Chrissa
language : en
Publisher: LAP Lambert Academic Publishing
Release Date : 2015-10-22
Etf Index Tracking Portfolio Selection For Idx written by Da Gomez Chrissa and has been published by LAP Lambert Academic Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-22 with categories.
Rapid economic development and a young population provide Indonesia with perfect ingredients for a thriving mutual fund industry. Investors particularly put an eye at Exchange Traded Fund (ETF), an investment fund that tracks an index, specific asset or basket of assets to which it is pegged because it offers inexpensive loads and require no minimum investment. Given the growing popularity of this passive investment method, the question now leads to why passive portfolio management is interesting. This book gives you the answer as well as real case of a method used in passive investment called index-tracking. Using this method, investors can hold only a few stocks while gaining advantage of replicating the whole index performance. The method is applied in Indonesia Stock Exchange (IDX) index with performance benchmarking to Markowitz optimisation method.
Index Tracking
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Author : Freddy Osuna
language : en
Publisher: Amethyst Moon
Release Date : 2012-02-01
Index Tracking written by Freddy Osuna and has been published by Amethyst Moon this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-02-01 with Nature categories.
Tracking encourages critical thinking; its success is determined by our ability to problem solve and think objectively. Tracking encourages advanced observation techniques and makes us sensitive to environmental anomalies. Author Freddy Osuna, a Native American and former USMC Scout Sniper, has combined the most useful techniques drawn from his years as a professional combat tracking instructor, combat Marine, and hunter to create Index Tracking. Index Tracking combines the best, most efficient, and successful tracking techniques into a single system. Using his simple, easy-to-employ search methods, you will learn to identify tracks and determine your prey's precise direction of travel. Index Tracking instructs you in the steps to trail and catch your prey quickly and effectively, while remaining aware and safe in your environment. Index Tracking provides tested, quantifiable techniques for trackers at any skill level. Index Tracking was developed for the benefit of professional and amateur trackers, and its techniques are also useful for anyone who wants to be more observant and comfortable in his or her surroundings.
The Financial Times Guide To Exchange Traded Funds And Index Funds
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Author : David Stevenson
language : en
Publisher: Pearson UK
Release Date : 2012-12-14
The Financial Times Guide To Exchange Traded Funds And Index Funds written by David Stevenson and has been published by Pearson UK this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-14 with Business & Economics categories.
Since the first edition of The Financial Times Guide to ETFs was published in 2009, the number of ETFs in issue has doubled and ETFs are now common both on investor platforms and increasingly amongst financial advisors. This massive increase in demand has highlighted an urgent debate – just how dangerous are ETFs and how much do investors and advisers understand about the structure of the index tracker? The second edition of this book attempts to answer this debate and is the indispensable bible on trackers for professional advisers and serious private investors. This new edition also features a chapter based around the theme of Due Diligence and a new chapter on How to use ETFs and Index Funds for theLong-term, as well as a new Jargon busting section and a-new appendix looking at new ideas beginning to emerge.
Index Tracking
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Author : Ren-Raw Chen
language : en
Publisher:
Release Date : 2022
Index Tracking written by Ren-Raw Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Index tracking has long been of interest for both industry of fund management andacademia. Various methods have been proposed and tested and various issues arediscussed throughout the past 30 years. Yet one issue remains unresolved is how toperform stock selection optimally. In this paper, I propose to use an artificial intelligentmethod - particle swarm optimization (or PSO) to select the most effective stocks totrack a target index most closely.I track the S&P 500 index using a small number of its constituents from 1990 till 2019.Practical constraints such as liquidity (in a form of bid-ask spread), transaction costs(commission), capital requirement are considered. The overall out-of-sample error isconsistent with the literature and shown to be greatly reduced if the rebalancing horizonis shorter and the number of stocks is increased. Also turnovers are lower if rebalancingis more frequent and if more stocks are chosen. Hence, there is a clear tradeoff betweenrebalancing cost and tracking accuracy.
Factor Based Index Tracking
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Author : Francesco Corielli
language : en
Publisher:
Release Date : 2002
Factor Based Index Tracking written by Francesco Corielli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Business enterprises categories.
Index Tracking And Enhanced Indexation Using A Parametric Approach
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Author : Luis Chavez-Bedoya
language : en
Publisher:
Release Date : 2014
Index Tracking And Enhanced Indexation Using A Parametric Approach written by Luis Chavez-Bedoya and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a parametric approach. The portfolio weights are modeled as functions of assets characteristics and similarity measures of the assets with the index to track. This approach permits handling nonlinear and nonconvex objectives functions that are difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the investor more information about the portfolio holdings since the optimization is performed over portfolio strategies. Finally, an empirical implementation and an analysis of selected characteristics are presented for the S&P500 index.
Index Tracking Exchange Traded Funds
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Author : Hong Kong. Securities and Futures Commission
language : en
Publisher:
Release Date : 200?
Index Tracking Exchange Traded Funds written by Hong Kong. Securities and Futures Commission and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 200? with Exchange traded funds categories.