This paper compares fundamental index strategies to strategies that start with the market index and then tilt towards … corresponding fundamental index, but have higher Information ratios and lower tracking error. Using the same methodology, we also … show that a modified index strategy that incorporates multiple distinct quantitative factors generates much higher …

In this article, the author detail the historic background behind the science of constructing a country or global index …. He argues that the industry has largely developed from practitioners rather than academia. He shows how a country index … is related to the market portfolio of the capital market pricing model and details the trade-offs that modern index …

improvements. The present paper seeks to contribute to this evolution, focusing on the Global Risk Appetite Index (GRAI) class of …

Based on the work of Brandt et al. (2009), we formulate an index tracking and enhanced indexation model using a … assets with the index to track. This approach permits handling non-linear and nonconvex objectives functions that are … difficult to incorporate in existing index tracking and enhanced indexation models. Additionally, this approach gives the …

. The new performance indexes incorporating high moments and disaster risk are the Aumann-Serrano performance index and … Foster-Hart performance index proposed by Kadan and Liu. These performance indexes provide evaluations sensitive to the … literature, we show by the regression analysis of the index and summary statistics these indexes are in fact not excessively …

asset allocation. As a result, the NYSE Dynamic U.S. Allocation Index has been developed as market-proven forecast … outperformance to the investor's portfolio. The investment strategy is already set up as an index and managed in different UCITS …

practice. This paper mitigates these problems by combining the CRSP market index with multiple factors to create a single … multifactor market index. Empirical tests of multifactor market indexes using a variety of different test asset portfolios … added to the CRSP index; and (2) the resultant multifactor market indexes are significantly priced in cross-sectional tests …

differentiated asset-class with relevance to the long-term utility of investors. Implications of the S&P 500 Index return …S&P 500 Index option-based volatility indexes have untenable risk-return profiles. These volatility indexes are not … cardinal characteristics of options on S&P 500 Index, central to designing viable volatility investment strategies, are …

. We are the first to analyze the impact of index replacements and the choice of indexing methodologies on relative … also highlight sensitivities of performance dispersion between different index methodologies by varying mean reversion and … momentum parameters. Mean reversion dominates momentum as the driving force in our setup. For a large-cap index comprising 50 …