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    Cash Management for Index Tracking


    Connor, Gregory (1995) Cash Management for Index Tracking. Financial Analyts Journal, 50. pp. 75-80. ISSN 0015-198X

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    Abstract

    Apositive cash position has two disadvantages for an index-tracking portfolio (a portfolio designed to mimic the retum on an equity index). First, equity indexes have a zero weight in cash, so a tracking portfolio with a positive weight will suffer from tracking error because of the mismatch in the cash weight. Second, the risk-free retum is lower than the expected retum on equities, so on average, a tracking portfolio with a positive cash holding will underperform the index portfolio.

    Item Type: Article
    Keywords: Cash Management; Index Tracking;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 8435
    Depositing User: Gregory Connor
    Date Deposited: 11 Jul 2017 15:59
    Journal or Publication Title: Financial Analyts Journal
    Publisher: CFAS Institute
    Refereed: Yes
    URI:

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