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 …

existence of momentum anomaly in BIST 100 index during the period July 2008 to June 2015. Jegadeesh and Titman (1993) J month … period and investment period in BIST 100 Index. Results are significant in 9- 12-month momentum investment and 3-6-9-12-month …

Employing asset-pricing models over the period 2012 to 2017, this study examines whether a search attention index (SAI …

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 …

We empirically examine the effects of index investing using predictions derived from a Grossman-Stiglitz framework. An … increase in index investing leads to lower information production as measured by Google searches, EDGAR views, and analyst … choose to be informed active traders whenever it is profitable. As index investing increases there are fewer informed active …