We studied the CBOE Market Volatility Index
from 1995 to 2004 and the Cross-Sectional Volatility of MSCI US and MSCI AC
Asia ex Japan of the same period. Tracking Error calculations and Market
Volatility Analyses were performed. We selected a portfolio, Dragon, for Risk
Analysis, Risk Decomposition and Risk Characteristics identification purposes.
A conclusion relating Dragon’s Tracking Error and its Portfolio Size was drawn.
References
[1]
Bodie, Z., Kane, A. and Marcus, A.J. (2011) Investments and Portfolio Management. 9th Edition, McGraw-Hill.
[2]
Chance, D.M. (2003) Analysis of Derivatives for the CFA Program. AIMR.
