Andrew Lo in his book, Adaptive Markets, advocates an investment product that he names a “dynamic index.” He has … AlphaSimplex funds and the GMO fund. The dynamic funds have higher expense ratios and turnover than static index funds do. Do the … investments dominate a simple portfolio of static index funds with similar style rebalanced regularly whether risk adjusted or not …

We present a general equilibrium model in which heterogeneous investors choose among bonds, stocks, and an Index Fund … equilibrium asset prices, investor behavior, and investor welfare. The presence of the index fund (or a decrease in the fee … charged by the index fund) tends to increase stock market participation and thus increase asset prices and decrease expected …