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

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 …

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 …

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 …

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 …

. 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 …

construction of (dynamic) index funds based on its transparent, systematic and investable outcome …

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 …

This short note provides a non-technical summary of our Review of Financial Studies paper, 'Realization Utility with …