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Quantitative Stock Selection: Low Tracking Error Selection

Published byCrystal Jacobs Modified over 6 years ago

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Presentation on theme: "Quantitative Stock Selection: Low Tracking Error Selection"— Presentation transcript:

1 Quantitative Stock Selection: Low 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. TE=std.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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