IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v49y2013is4p163-183.html
   My bibliography  Save this article

Application of a Multifactor Model in Enhanced Index Fund: Performance Analysis in China

Author

Listed:
  • Yih Jeng
  • Chen-Ju Lee
  • Shyh-Weir Tzang

Abstract

The paper aims to explore the potential for outperformance of the enhanced index fund constructed using a multifactor model that has been widely used by practitioners. By presenting an empirical implementation of the factor model to construct the enhanced index fund based on the component stocks of the Shanghai Stock Exchange 50 (SSE50) index, the paper also identifies significant factors to explain excess return on securities in the Chinese market. By introducing an ad hoc weight-allocating approach, the paper constructs the enhanced index fund that can deliver a higher active return and information ratio and lower tracking error through an optimal mix of the benchmark weight and renewal rate obtained from backtesting results.

Suggested Citation

  • Yih Jeng & Chen-Ju Lee & Shyh-Weir Tzang, 2013. "Application of a Multifactor Model in Enhanced Index Fund: Performance Analysis in China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S4), pages 163-183, September.
    • Handle: RePEc:mes:emfitr:v:49:y:2013:i:s4:p:163-183
    as

    Download full text from publisher

    File URL: http://mesharpe.metapress.com/link.asp?target=contribution&id=28317487KT524045
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:49:y:2013:i:s4:p:163-183. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.