Index tracking strategies using Cointegration

Luca Fedele

ISBN 10: 3844323481 / ISBN 13: 9783844323481

Editore: LAP LAMBERT Academic Publishing Mär 2011, 2011

Riguardo questo articolo

Neuware -I present a detailed study of portfolio optimization based on cointegration, a statistical tool that exploits a long-run equilibrium relationship between stock prices and an index price. I compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimized on the tracking error variance. From a nine year out of sample performance analysis I found that cointegration optimal portfolios clearly dominate the TEV equivalents for all of the strategies based on enhanced indexation, Moreover, I provide some information regarding the performance of financial markets and the equity Italian funds of the last ten years. Finally, I deepen my research with a comparison between an index fund managed by Soprano SGR and the cointegration based portfolio. From a two year out of sample analysis, my tracking portfolios dominate both benchmark, the DJ Stoxx 50, and the Soprano fund.Books on Demand GmbH, Überseering 33, 22297 Hamburg 68 pp. Englisch.

Codice articolo 9783844323481

Dati bibliografici

• Titolo: Index tracking strategies using Cointegration
• Editore: LAP LAMBERT Academic Publishing Mär 2011
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 3844323481
• ISBN 13: 9783844323481
• Rilegatura: Taschenbuch
• Condizione: Neu
• Condizione della sovraccoperta: sovraccoperta

Descrizione articolo

Riassunto

I present a detailed study of portfolio optimization based on cointegration, a statistical tool that exploits a long-run equilibrium relationship between stock prices and an index price. I compare the theoretical and empirical properties of cointegration optimal equity portfolios with those of portfolios optimized on the tracking error variance. From a nine year out of sample performance analysis I found that cointegration optimal portfolios clearly dominate the TEV equivalents for all of the strategies based on enhanced indexation,. Moreover, I provide some information regarding the performance of financial markets and the equity Italian funds of the last ten years. Finally, I deepen my research with a comparison between an index fund managed by Soprano SGR and the cointegration based portfolio. From a two year out of sample analysis, my tracking portfolios dominate both benchmark, the DJ Stoxx 50, and the Soprano fund.

Informazioni sull?autore

LUCA FEDELE holds degrees from University Luigi Bocconi (undergraduate degree in finance; MSc in Finance). He worked as financial advisor and economist at an investment firm located in Chile. He currently is the portfolio manager of the pension fund managed by BBVA Chile Asset Management. This paper is his first published work.