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When index/ fund data is not available for a long time period, I have used
surrogates to test my trading strategy that uses fund or index surrogates on
the actual fund/index to see what the difference in return will be versus
trading the surrogate. So, what I do is examine the major constituents of
the fund and the relative holdings, and
construct a ticker in the same way as described in an earlier post.
This gives a longish history c.f. some of the indexes available.
One can check the performance both visually and also use Spearmann rank
correlation to compare performance of individuals versus the actual
(Spearmann is available from Numerical Recipes.http://www.nr.com/ ) and
hence fine tune the constituents.
However, as a riule of thumb, I have found that the 10 largest constuents
are sufficient to mimic performance..
----- Original Message -----
From: "ed garib" <egarone@xxxxxxxxx>
To: "David Jennings" <DavidJennings@xxxxxxxxxxxxx>
Cc: <omega-list@xxxxxxxxxx>
Sent: Wednesday, July 25, 2001 3:07 AM
Subject: Re: creating an index
> What do you mean David?
>
> Could you explain please?
>
> Thanks
> Ed
>
>
> > FWIW, I've built reasonable surrogates in the past
> > with the top 10 stocks.
> >
>
>
>
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