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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 |
| Related URLs: | |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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