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It is well known that index fund optimization is important for hedge trading investment in a stock market. The index funds consisting of a small number of listed companies are constructed by a genetic algorithm method based on the coefficient of determination between the return rate of the fund price and the changing rate of the market index in this paper. The method is examined with numerical experiments applied to the Tokyo Stock Exchange. The results show that the index funds work well for forecasting over a future period. In addition, we show the problems of this optimization that the coefficient of determination depends on the characteristics of the scatter diagram between the index fund price and the market index.

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