haku: @indexterm ALLOCATION / yhteensä: 247
viite: 65 / 247
| Tekijä: | Ammann, M. Zimmermann, H. |
| Otsikko: | Tracking Error and Tactical Asset Allocation |
| Lehti: | Financial Analysts' Journal
2001 : MAR-APR, VOL. 57:2, p. 32-43 |
| Asiasana: | ASSETS ALLOCATION STATISTICAL METHODS |
| Kieli: | eng |
| Tiivistelmä: | The authors report results from their investigation of the relationship between statistical measures of tracking error and asset allocation restrictions expressed as admissible weight ranges. Tracking errors are typically calculated as annualized second moments of return differentials between a portfolio and a benchmark. In practice, however, constraints on tactical deviations from benchmark weights are often imposed on the portfolio manager to ensure adequate tracking. Simulating various investment strategies subject to such constraints, the authors illustrate how the size of acceptable deviations from the benchmark relates to the statistical tracking error. The authors also found that TAA restrictions should restrict not only the tactical ranges of the individual asset classes but also the tracking of the individual asset classes. |
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