|
- UID
- 222246
- 帖子
- 238
- 主题
- 53
- 注册时间
- 2011-7-2
- 最后登录
- 2016-4-19
|
| If i wanted to create passive index of us stocks for a large client of mine who has $400 million to allocate to this passive equity strategy, and they explicitly have told me they want to minimize transaction/rebalancing costs AFTER the portfolio has been implemented, wouldn't full replication be the best method given they want to replicate the performance of the sp500? Im thinking that it would initially be costly to buy each stock, but after that's done rebalancing costs and tracking risk would be minimal when compared to stratified sampling, optimization, fundamental risk factor matching or any other method... |
|
发表于 2011-7-13 16:42
| 