Is it really a long drawn out calculation for optimizing a large cap core portfolio to track the Russell 1000? Say 60 or so stocks.
Is there a Bloomberg function for learning this skill?
I need to learn how to do this - not looking to go to school, but there is a budget. Can someone point me in the right direction?
I’d probably start by calculating the correlation of returns between the index and each stock in the index, then pick the 60 stocks that have the highest correlations, put them together in a portfolio, and minimize the tracking error. I don’t know if it’s a good approach, but it’s the first idea that occurred to me.
However, remember the chess adage: You’ve found a good move. Great! Now . . . look for a better one.
So whichever combo has the highest R squared or whatever it’s called?
As I say, off the top of my head, that’s where I’d start.
cant you call a bloomberg tech to help you figure it out.
quite honestly when i get something i dont know i just past it off to them. lol