- Build a smart beta portfolio and compare it to a benchmark index.
- Calculate the tracking error against the index to find out how well the smart beta portfolio did
- Build a portfolio by using quadratic programming to optimize the weights.
- Rebalance the portfolio and calculate turn over to evaluate the performance.
- Use the turn over metric to find the optimal rebalancing Frequency.
For the dataset, the end of day from Quotemedia is used.