Semi-variance optimization for the components of the Dow Jones Industrial Average index

This study contributes to passive portfolio management by comparing four ways for asset allocation. Index investing, mean-variance optimization, equal-weighting and semi-variance optimization are compared as part of the investment strategy aimed at outperforming Dow Jones Industrial Average (DJIA). The best way allocate assets was portfolios looking minimum semi-variance. Yield spreads below performance DJIA components this index used has a 65.2% probability annual return. 5,134 simulations run between 2000-2020. An abnormal return 0.42% beta 0.95 obtained with CAPM achieved.