Index tracking is an investment strategy in portfolio management which aims to construct an optimal portfolio to generate similar mean return with the stock market index mean return without purchasing all of the stocks that make up the index. The objective of this paper is to construct an optimal portfolio using the optimization model which adopts regression approach in tracking the benchmark stock market index return. In this study, the data consists of weekly price of stocks in Malaysia market index which is FTSE Bursa Malaysia Kuala Lumpur Composite Index from January 2010 until December 2013. The results of this study show that the optimal portfolio is able to track FBMKLCI Index at minimum tracking error of 1.0027% with 0.0290% excess mean return over the mean return of FBMKLCI Index. The significance of this study is to construct the optimal portfolio using optimization model which adopts regression approach in tracking the stock market index without purchasing all index components.
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机译：索引跟踪是投资组合管理中的投资策略，旨在构建最佳的投资组合，以产生类似的平均回报与股票市场指数意味着退货，而不购买弥补该指数的所有股票。本文的目的是利用优化模型构建最佳组合，在跟踪基准股票市场指数返回时采用回归方法。在这项研究中，数据由2010年1月至2013年12月至2013年12月的FTSE Bursa Malaysia Kuala Lumpure综合指数的每周股票。本研究结果表明，最佳产品组合能够最低跟踪FBMKLCI指数跟踪误差为1.0027％，超过FBMKLCI指数的均值返回0.0290％的均值返回。本研究的意义是使用优化模型构建最佳组合，该优化模型采用回归方式跟踪股票市场指数而不购买所有指标组件。
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