Tracking the Euro—Pac Index

The Europe-Pacific (Euro-Pac) Index is a subset of the FT-Actuaries World Index. The Euro-Pac Index covers about 1,650 stocks in 20 European and Asian countries. A 378-stock Euro-Pac basket was created in September 1987, and a 746-stock basket was built in January 1988 to track the Euro-Pac Index. T...

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Bibliographic Details
Published in:Journal of portfolio management 1989-01, Vol.15 (2), p.55-58
Main Authors: Toy, William W, Zurack, Mark A
Format: Article
Language:English
Subjects:
Baskets
Indexes
International
Portfolio management
Rates of return
Stock
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Summary:The Europe-Pacific (Euro-Pac) Index is a subset of the FT-Actuaries World Index. The Euro-Pac Index covers about 1,650 stocks in 20 European and Asian countries. A 378-stock Euro-Pac basket was created in September 1987, and a 746-stock basket was built in January 1988 to track the Euro-Pac Index. The risk of each stock was measured in relation to its home country stock index. Each country basket's proportional weighting in the Euro-Pac basket was based on that country's proportional weighting in the full Euro-Pac Index. The baskets include stocks for 10 countries that account for more than 97% of Euro-Pac's market value. The tracking errors for the 10-country baskets were calculated using data for the time periods before and after the country baskets were created. Based on daily regression estimates, the annual tracking error of the 378-stock basket from September 1987 through March 1988 was 1.4%; for the 746-stock basket, the error from January 1988 through March 1988 was 0.50%.
ISSN:0095-4918
2168-8656
DOI:10.3905/jpm.1989.409186