Portfoliomanagement:Index-Tracking Strategies: An Empirical Application

Peter Norman, who is in the head management of Sjunde AP-fonden, which is one of the five largest pension funds in Sweden and accounts for 66 milliard Swedish crones, admits that they have decided to employ passive Index-Tracking strategies, because they expect to receive a higher profit by investing in passive strategies. Sidea [2009], who works as editor of the magazine Veckans Affنrer, argues that traditional active funds management is built on the managements analysis to figure out and invest in stocks which are underpriced. Considering this, these strategies are built on expectations which may be quite different from each other. This relatively expansive sort of active management needs a high degree of analyst competence, forecast making and trading which involve clearly high costs. This book presents an overview about passive Index-Tracking Strategies as well as an empirical application. The reader will be able to understand the discussed methods and be able to construct strategies of their own, too. Apart from traditional strategies, Klaus Grobys presents the application of more sophisticated models based on cointegration theory as well as a new Pricing model, introduced in his academic final thesis at the University of Kiel.