作为Comate,我很乐意为你解答关于“跟踪误差波动率(Tracking Error Volatility)”的问题。以下是对你问题的详细回答: 1. 解释“跟踪误差波动率(Tracking Error Volatility)”的含义 跟踪误差波动率是衡量一个投资组合或基金与其基准指数之间偏差的波动程度。它反映了投资组合在跟踪基准指数时表现的不稳定性或偏离程度。简...
Tracking Error Volatility Mitigation by Managers of Multiple Mutual Fundsdoi:10.3905/joi.2024.1.307Gottesman, AronJournal of Investing
low volatility strategies和tracking error没啥关系。这个策略指的是,定期(一般是每个月)选择波动率(就是股票涨跌幅的标准差)最低的那些股票买入,专注于投资这些低波动的股票,到了下个月则再次选择波动率最低的股票进行调仓。 投资学文献研究结果显示,选择低波动率的股票进行投资可以稳健的跑赢市场大盘指数,也就是相...
价格“已实现”波动率带来同向的冲击,这一冲击具有一定的持续性和滞后性。 关键词:高频;基金;跟踪误差;“已实现”波动率 中图分类号:F270 文献标识码:A 1 引言 交易型指数型ETF基金(ExchangeTraded Fund,ETF)的推出为指数基金市场的发展带来了 前所未有契机。统计数据显示,从2007年6月至 2OO8年的6月,美国证...
Using tracking error volatility to check active management and fee level of investment funds Theiskanagement departmentsually imposesossetanagersaximum valuefheracking error volatility (TEV),ut it does not establishulenEVonderstand whether portfoli... Luca,Riccetti - 《Global Business & Economics Review...
It compares and contrasts Active Share to a more traditional measure of relative portfolio management, Tracking Error Volatility. In this paper, I derive the functional relationship between these measures. The multiplicative reconciling term is merely a standard deviation, which I call the Volatility ...
There is a positive correlation between the volatility of an index and an ETF’s tracking error No free lunches — ETFs all suffer in differing degrees from tracking error Tracking error almost always results in investor underperformance As well-informed investors, we’ve been trained to look out...
Illiquidor thinly-traded securities can also increase the chance of a tracking error, since this often leads to prices differing significantly from market price when the fund buys or sells such securities as a result of largerbid-ask spreads. Finally, the level of volatility for an index can a...
Failing to do the proper preparation and taking a prudent approach to investing can have a more detrimental result on your personal bottom line than making a mathematical error in your VIX calculation. Article Sources Part of the Series Guide to Volatility Volatility Explained Investopedia ...
This article explores the risk and return relationship of active portfolios subject to a constraint on tracking-error volatility (TEV), which can also be interpreted in terms of value at risk. Such a constrained portfolio is the typical setup for active managers who are given the task of beatin...