TRACKING NIFTY: A COINTEGRATION BASED APPROACH

This paper deals with formulation of Partially Replicating Index Tracking Portfolio with the use of cointegration. The paper is partly a replication of Christian L. Dunis & Richard Ho (2005) [published in Journal of Asset Management, Vol. 6, 1, page 33-52] with Indian stock market data. As NIFTY is an index based on free float market capitalization, a simple stock selection procedure of selecting stocks with highest market capitalization are used. Also progressively moving window portfolios are created and the dynamics of the portfolios are analyzed over a testing period of fourteen months. The essence of this study is to create a tracking portfolio in simple regression based approach which does not need any optimization. The resulting portfolio, as based on long- run cointegrating relationship, does not require frequent re-balancing and saves turnover cost.本文针对基于协整（cointegration）的部分复制指数跟踪投资组合构建问题展开研究。本文部分复刻了Christian L. Dunis与Richard Ho于2005年发表在《资产管理期刊（Journal of Asset Management）》第6卷第1期第33-52页的研究，并采用印度股票市场数据开展实证分析。由于NIFTY指数（NIFTY）是基于自由流通市值编制的指数，本文采用选取市值最高个股的简易选股流程。同时构建了渐进式滚动窗口投资组合，并在14个月的测试周期内分析该类投资组合的动态演化特征。本研究的核心在于采用无需任何优化的简易回归法构建跟踪投资组合。该基于长期协整关系构建的投资组合无需频繁调仓，可节省交易周转成本。