Correlation versus Cointegration Do Cointegration based Index-Tracking Portfolios perform...

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1、GrobysK:CorrelationversusCointegration:DoCointegrationbasedIndex-TrackingPortfoliosperformbetter?72SHORTPAPERINMATHEMATICALFINANCECorrelationversusCointegration:DoCointegrationbasedIndex-TrackingPortfoliosperformbetter?EvidencefromtheSwedishStock-Market1KlausGrobys1KLARNAAB,Stock

2、holmKontaktKlausGrobys,Mag.Sc.KLARNAABNorraStationsgatan6111343StockholmSwedenTel.:+46(0)08-12012000E-Mail:klausgrobys@hotmail.deAbstractPassiveportfoliomanagementwhichaimstoreplicateastockindexfacesbasicallytwodifferentoptimizationmethods.Traditionalportfoliomanagementemployshis

3、toricalstockreturndataofpreselectedstocksinordertoreplicatetheunderlyingstockindex.Thecointegrationmethodem-ploystimeseriesdataofstockpricesinstead,eventhoughstockpricedatamaystatisticallyoftenexhibitrandomwalkbehavior.Inthisreviewtheadvantageofthelattermethodcouldbeasserted.Ther

4、eby,differentstockportfolioswithrespecttotheSwedishstockmarketareconstructedwhichrestuponboth,theconceptofcorrelationandtheconceptofcointegration.Thecointegrationbasedmodelsdominate,whichcanbeascertainedbycomparingtheirSharperatiosaswellastheirTrey-norratios.Thedominatingstockpor

5、tfoliobeattheindexby79.08%withintheoverall10-yearsout-of-sampleperiod,whereastheannualvolatilityonaveragewas1.10basepointslower.Keywords:Cointegrationmodels,Indextracking,Quasi-maximum-likelihoodestimation,Correla-tionmodelsKorrelationkontraKointegration:Leistenkointegrationsbasi

6、erteIndex-Tracking-Portfoliosmehr?EvidenzvomschwedischenAktienmarktZusammenfassungPassivesPortfolio-Management,dasdaraufabzielt,einenAktienindexzureplizieren,hatgrundsätz-lichzweiverschiedeneOptimierungsmethodenzurVerfügung.TraditionellesPortfolio-ZeitschriftfürNachwuchswissensch

7、aftler–GermanJournalforYoungResearchers2010/2(1)GrobysK:CorrelationversusCointegration:DoCointegrationbasedIndex-TrackingPortfoliosperformbetter?73ManagementbenutzthistorischeZeitreihen,ummitRenditenzeitreiheneineszuvorselektiertenAktienpoolsdiezugrundeliegendenIndexrenditenzurep

8、lizieren.DieKointegrationsmethodever-wen