The Models And Methods Of Index Tracking With Empirical Analysis

Indexing investment which pursuits to achieve the yield similar to the target index and transaction cost minimization, rather than beat the market to obtain excess returns, is a medium-to-long-term tracking index, passive investment.Last year was the10th anniver-sary of the development of Indexing in Mainland China.Since the establishment in2002of the first index fund-Hua’an SSE180(Shanghai Stock Exchange),2004issued the SSE50China’s first ETF, as of the end of June2012,the number of index funds in Chi-na reached180, including43ETFs and37feeder funds, assets size close to360billion yuan, the ETF reached120billion yuan, to become one of the the important ETF market in Asia.Index fund as a wealth management tool for the healthy development of the cap-ital markets and the real economy plays a positive role.With the gradually improvement of market efficiency, investors’growing demand for standardized financial instruments, index fund has a broad space for development. ETF will play an important role in asset allocation, risk management, as well as precision investment a variety of asset class-es.In addition, indexed products with strict decision-making processes and management system, and stable risk, high transparency, low cost, convenient trading,etc, attract In-stitutional investors.In the management and operation of the index funds, according to the traditional macro information on the industry to judge the stock-picking method as the auxiliary reference, while with the aid of mathematical statistics,financial time se-ries analysis, stochastic control theory as a guiding tool for the quantitative analysis of investment decisions will play an increasingly important role, to lay the foundation for program trading.This paper briefly introduced index replication foreign researchers in a research direction, and then to analyze the domestic securities market and using correla-tion analysis, regression analysis, cluster analysis, and statistical knowledge seeking the index replication strategy.In the third chapter of the empirical analysis using a variety of methods,the SSE180Index for the target index, comparative analysis of the results of a variety of tracking methods, and gives the performance evaluation.In the adjustment phase, the strategy adjustments and discussion made in accordance with the changes of the constituent stocks and analysis of the effect of weight change on the tracking error and transaction costs.