The results show that the devise of index tracking portfolios using cointegration generates goods results, replicating the benchmark’s return and volatility. We aim to design optimal portfolios acquiring the asset prices’ co-movements. This work uses cointegration methodology to devise two quantitative strategies: index tracking and long-short market neutral. Although the method is efficient, the tracking error isn’t certainly stationary, so the portfolio can get distant from the benchmark, requiring frequent re-balancements. The covariance matrices used to optimize are difficult to estimate and ad hoc methods often need to be applied to limit or smooth the mean-variance efficient allocations recommended by the model. The traditional models to optimize portfolios based on mean-variance analysis aim to determine the portfolio weights that minimize the variance for a certain return level.
0 kommentar(er)
