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Tony Jacoby’s Masters Project Presentation “Clustering Techniques in Portfolio Construction of Index Funds”

Apr. 11 @ 10 a.m. - 12 p.m.

Free

Join us for Tony Jacoby’s Masters Project Presentation “Clustering Techniques in Portfolio Construction of Index Funds” on Thursday, April 11th at 10 am in Student Commons 4017.

Title: Clustering Techniques in Portfolio Construction of Index Funds

Abstract: This experiment tested how well the performance of a stock market index could be replicated using two different clustering methods, K-Means and spectral clustering. Sleeve portfolios were constructed by clustering the benchmark stocks around 12 risk factors. These sleeves were then aggregated for each rebalancing period and back tested against the benchmark to measure the portfolios’ active return and tracking error.