Connor, Gregory (1995) Cash Management for Index Tracking. Financial Analyts Journal, 50. pp. 75-80. ISSN 0015-198X

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Abstract

Apositive cash position has two disadvantages for an index-tracking portfolio (a portfolio designed to mimic the retum on an equity index). First, equity indexes have a zero weight in cash, so a tracking portfolio with a positive weight will suffer from tracking error because of the mismatch in the cash weight. Second, the risk-free retum is lower than the expected retum on equities, so on average, a tracking portfolio with a positive cash holding will underperform the index portfolio.

Item Type:	Article
Keywords:	Cash Management; Index Tracking;
Academic Unit:	Faculty of Social Sciences > Economics, Finance and Accounting
Item ID:	8435
Depositing User:	Gregory Connor
Date Deposited:	11 Jul 2017 15:59
Journal or Publication Title:	Financial Analyts Journal
Publisher:	CFAS Institute
Refereed:	Yes
URI:	Publisher
Use Licence:	This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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