Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

48 Optimizing Optimization

2.2

2.18

2.16

2.14

2.12

2.1

2.08

2.06

2.04

2.02

Tracking error

Tu r n o v e r

2

1.98

1.96

1.94

1.92

1.9

1.88

1.86

1.84

1.82

1.8

9

9.19.29.39.49.59.69.79.89.9^10 10.110.210.310.410.510.610.710.810.9^11

Color key

Value

0.64 0.67

Transfer coefficient

Figure 2.17 Turnover — tracking error — transfer coefficient heatmap.

Table 2.6 Portfolio P1

Summary statistic Value

Expected return 0.2736%

Transfer coefficient 0.6650

Implied beta 1.0106

Tracking error 1.84%

Tax liability $6,315.24

Turnover 10.40%

Realized short-term gains $11,687.70

Realized short-term losses $13,594.12

Net realized short-term gains/losses ($1,906.41)

Realized long-term gains $54,855.18

Realized long-term losses $10,847.18

Net realized long-term gains/losses $44,008.01