A Study On The Approaches And Applications Of Index Tracking Management Based On The Security Market Of China

The idea of indexing investment, based on its advantage and accepted extensively by the investors, is a focus of researches in the field of portfolio management both at home and abroad. By taking market efficiency hypotheses and modern portfolio theory as the basic theory of index tracking management, and taking the methods of mathematical statistics and econometrics as the technological means, we use the knowledge of economy and management to study deeply into the problem of index tracking management. According to the shortages in the studies of index tracking management and the reality in the indexing investment of China, we reinforce to have established the system of index tracking management to develop and improve the methods of index tracking management. This study is the preparation on the methods of index tracking management for the indexing products in China. The main contents and conclusions analyzed in this paper as follows.Choosing a replication method to construct the index tracking portfolio is the problem that should be solved firstly in index tracking management. In this paper, the index tracking portfolio is structured from the point of systematic risk controlling, and then, three basic replication methods and two kinds of measurement of tracking error are researched by compared with the empirical study. With the fluctuation of the security market is strengthened day by day, the security market index adjust more and more frequently, so the rebalancing problem of index tracking portfolio become more and more important in index tracking management. In order to reduce the influence of adding and deleting the component securities to the performance of index tracking, the rebalancing problem of index tracking management are researched in the paper by ranking the component securities of the targeting index. The empirical study about Shenzhen Stock Exchange Index 100 show that, the performance of stratified sampling replication is the best; but by considering the quantity of the component securities and the returns of tracking portfolio, the optimization replication method is realistic choice. In addition, linear tracking error is a benefited choice for the manager of the indexing products, and the performance of index tracking can be improved by structuring the tracking portfolio with high frequent rebalancing strategy.Low cost is one important advantage of indexing investment; therefore, cost management is one important aspect of index tracking management. In the cost composition of index tracking, transaction cost and cash are the focal points of cost...