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Maximum Benchmark Exposure

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Melanion Capital presents a quantitative model to construct a portfolio designed to maximize the exposure to a given Benchmark.

This paper provides an empirically based iterative methodology that captures the exposure to a benchmark from traditional assets, while minimizing the idiosyncratic risk.

We concluded from the results that the stocks with the highest Beta in respect to the Benchmark and weighting them with these Betas provides the Maximum Benchmark Exposure.

To test our hypothesis, we applied the model to the Oil and Gold benchmarks, building two different Maximum Benchmark Exposure Portfolios.

Fill in the form to read more and learn how we built this Maximum Benchmark Exposure Portfolio.

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