文章基本信息

标题：Long-Short Market Neutral and Index Tracking Strategies Based on Cointegrated Portfolios
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作者：João Frois Caldeira ; Marcelo Savino Portugal
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2010
卷号：8
期号：4
页码：469-504
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：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. 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. 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. This work uses cointegration methodology to devise two quantitative strategies: index tracking and long-short market neutral. We aim to design optimal portfolios acquiring the asset prices’ co-movements. The results show that the devise of index tracking portfolios using cointegration generates goods results, replicating the benchmark’s return and volatility. The long-short strategy generated stable returns under several market circumstances, presenting low volatility.
其他摘要：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. 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. 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. This work uses cointegration methodology to devise two quantitative strategies: index tracking and long-short market neutral. We aim to design optimal portfolios acquiring the asset prices’ co-movements. The results show that the devise of index tracking portfolios using cointegration generates goods results, replicating the benchmark’s return and volatility. The long-short strategy generated stable returns under several market circumstances, presenting low volatility.
关键词：Cointegration;Index Tracking;Long-Short; Market Neutral Strategy;cointegração, index tracking, long-short, estratégia neutra ao mercado
其他关键词：Cointegration; Index Tracking; Long-Short; Market Neutral Strategy;C32; C52; G11