always start from index fund as benchmark.

There exists competition among index funds. Minimizing tracking error is their ultimate goal.

Reason for tracking error:

• 基金申赎、现金储备
• 指数成分股变更
• 停盘、涨跌停

How to do optimization:

• Leave out some stocks

Authorized Participant:

• Management Fee

Survivor bias: the whole market should include those that expires. Incubation bias: those funds that performs well will be sold.

Long term performance works.

• Government Regulation

• Self-regulation：行业协会会是最主要的监管来源。杜绝不正当竞争、保持行业健康发展；

• dedicated short（亏的少就行）

• 并购套利：如果发布了并购的事件，那么股价应该会涨到接近于并购的价格（不会完全达到，因为并购可能失败）