Abstract

In this study, we use the cumulative sum (CUSUM) control chart methodology to regulate index tracking portfolio updates over time, as we seek to make the rebalancing decision endogenous to the portfolio selection problem. We use data from two stock markets (United States and Brazil), and we estimate CUSUM based portfolios as well as portfolios using fixed rebalancing time windows. We also provide a comparison with the exponentially weighted moving average (EWMA) control chart methodology. Our findings show the suitability of CUSUM, in a dynamic condition in which we have more portfolio updates when tracking performance is poor (usually during periods when markets have more volatility) and lower updates when tracking performance is effective.

摘要

在本研究中，我们使用累积总和 (CUSUM) 控制图方法来调节指数跟踪投资组合随时间的更新，因为我们寻求使重新平衡决策与投资组合选择问题相关。我们使用来自两个股票市场（美国和巴西）的数据，我们估计基于 CUSUM 的投资组合以及使用固定再平衡时间窗口的投资组合。我们还提供了与指数加权移动平均 (EWMA) 控制图方法的比较。我们的研究结果显示了 CUSUM 的适用性，在动态条件下，当跟踪表现不佳时（通常在市场波动较大的时期），我们有更多的投资组合更新，而当跟踪表现有效时，我们有更低的更新。