We analyze a less-known but profound impact of additions to the Samp;P 500 - the impact on publicly traded options of the added company. Our analysis sheds new light into the enormous magnitude of index change related price movements in the options market, and provides insights on replicable...

The Samp;P Indices Versus Active Funds (SPIVA) Scorecard report performance comparisons corrected for survivorship bias, shows equal- and asset-weighted peer averages, and provides measures of style consistency covering actively managed U.S. equity, international equity and fixed income mutual...

The introduction of the Samp;P 500 Equal Weighted Index (EWI) in January 2003 pioneered the subsequent development of noncapitalization weighted indices catering to investors who question market efficiency. Equal weighting is factor indifferent. It randomizes factor mispricing and is thus an...

In early 2004, we published a paper describing a simple model of asset allocation for pension plans that incorporates the concept of equity duration. We believe that a diversified portfolio of equities and bonds can be immunized and lowers the risk of deficits. Akin to the well-known concept of...

12b-1 fees are a component of the total expense ratio of a mutual fund that is used for marketing and distribution expenses. Broader merits and demerits of 12b-1 fees have been actively discussed. We focus on a narrow element, specifically on 12b-1 fees being charged for mutual funds that are...

The proliferation of 130/30 products has raised interesting questions in terms of how they should be benchmarked. The use of leveraged long and short positions renders them different, at least at first blush, to traditional long only products. In this paper, we explore various benchmarking...