PORTFOLIO STRATEGIES AND ASSET ALLOCATION - Empirical Insights on Indexing - The focus of this article is the effect of portfolio composition on the tracking performance of indexed portfolios. Indexed portfolios from high-capitalization indexes are shown to have less tracking error and a lower standard deviation of tracking error than indexed portfolios from low-capitalization indexes. ...
| Year of publication: |
1998
|
|---|---|
| Authors: | Larsen Jr, Glen A. ; Resnick, Bruce G. |
| Published in: |
The journal of portfolio management : a publication of Institutional Investor. - New York, NY : Institutional Investor, ISSN 0095-4918, ZDB-ID 1971451. - Vol. 25.1998, 1, p. 51-60
|