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Multi Factor Investing with Rodrigo Petricioli, MFE

The Quant / Financial Engineering Podcast

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Replicating a Dow 30?

When we say replicate, what do we mean you were able to replicate a Dow 30 using? Yeah, when I say replicate here is two things. One is I need to use the same universe of companies. So I do need to invest in the same 30 companies. But however, by replicating you don't necessarily need to investment in the 30,. You can invest in less than the 30 companies and get similar risk exposure. The whole thing about my project is to be able to customize your risk exposure.

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