标题: Full replication [打印本页] 作者: joehogue 时间: 2011-7-13 16:43 标题: Full replication
Does anybody remember how many portfolios is too many to use the full replication indexing approach?
Also, regarding some of the more recent threads: fellow AF users, listen to Jesus and just love each other.
Amen, hommies.作者: mik82 时间: 2011-7-13 16:43
when portfolio is more than 1000 stocks, full replication usually not most cost effective.作者: strikethree 时间: 2011-7-13 16:43
Really? Is it that many?作者: bpdulog 时间: 2011-7-13 16:43
The text said needs to be <1000 liquid stocks - I remember that too.
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-My friend QQQbbe, we will never forget you.作者: oneboy 时间: 2011-7-13 16:43
Additions/deletions are a whole separate thing...any index has to deal with that type of rebalancing. The idea with full replication is to avoid rebalancing that simply relates to regular volatility & moves in the value of the underlying stocks.
