The structural tracking error minimization (STEM) approach produces stable tracking portfolios out-of-sample in the crucial investment period. Full version:
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Category: INVESTMENTS
Protected: Detecting fraud in financial reporting with ML
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Protected: Robo advisors in FinTech
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Documenting your investment decisions in MoneyBuilder
Before you start the investment you need to document two very important points.
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First version of MoneyBuilder is available
Main idea for MoneyBuilder
Three months ago I have started to develop personal finance application for myself. You can ask me, why you need another personal finance application?
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The Stability of Traditional Measures of Index Tracking Quality
Today, the investment into indices has become a widely used strategy in portfolio management. While Index Funds and ETFs try to represent the performance of a single index, other portfolio strategies use indices as portfolio components to concentrate on the allocation task. Because an index cannot be purchased directly, it has to be rebuilt. This is called index tracking.
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A Method for Robust Index Tracking
In today’s Portfolio Management many strategies are based on the investment into indices. This is a consequence of various empirical studies that show that the allocation over asset classes, countries etc. provides a greater performance contribution than the selection of single assets. For every portfolio containing indices as components the problem is that an index cannot be purchased directly. So it has to be rebuilt. This is called index tracking. The goal is to approximate the risk and return profile of an index.
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