Quantitative Stock Selection: Low Tracking Error Selection - PowerPoint PPT Presentation

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Quantitative Stock Selection: Low Tracking Error Selection

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Low Tracking Error Selection. 1. Long-Short implemented as an overlay for long only. ... Low Tracking Error Selection. 4. TE=std.dev (portfolio return-benchmark ... – PowerPoint PPT presentation

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Title: Quantitative Stock Selection: Low Tracking Error Selection


1
Quantitative Stock SelectionLow Tracking Error
Selection
  • Campbell R. Harvey
  • Duke University
  • National Bureau of Economic Research

2
Low Tracking Error Selection
  • 1. Long-Short implemented as an overlay for long
    only.
  • 2. Scoring screen used to overweight (longs) and
    underweight (shorts).
  • 3. Degree of over and underweighting determines
    the tracking error

3
Low Tracking Error Selection
  • 4. TEstd.dev (portfolio return-benchmark return)
  • 5. Extra constraints might be added to the final
    under/overweighting to avoid excessive sector and
    style exposures
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