{"product_id":"index-tracking-strategies-using-cointegration-von-luca-fedele","title":"Index tracking strategies using Cointegration","description":"\u003cp\u003eI 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.\u003c\/p\u003e\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783844323481\"\u003e\u003ch3\u003eA comparison with tracking error variance minimization model\u003c\/h3\u003e\u003c\/div\u003e","brand":"Autorenwelt Shop","offers":[{"title":"Softcover - 9783844323481","offer_id":39495966457949,"sku":"9783844323481","price":49.0,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/ae5ebaf7-7324-4481-a362-769a286488c8.jpg?v=1757650528","url":"https:\/\/shop.autorenwelt.de\/en\/products\/index-tracking-strategies-using-cointegration-von-luca-fedele","provider":"Autorenwelt Shop","version":"1.0","type":"link"}