. 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 …

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

We show theoretically and empirically that flows into index funds raise the prices of large stocks in the index … disproportionately more than the prices of small stocks. Conversely, flows predict a high future return of the small-minus-large index … portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …

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 …

2017 for 25 US-traded commodities, we find a statistically significant increase in comovement among non-energy index …-commodities. This increase is only temporary. In contrast, no change in comovement is observed for off-index commodities over the entire … the results. Such comovement ‘index effect' is in line with the predictions of theoretical models of the financialization …

We focus on the stock selection step of the index tracking problem in passive investment management and incorporate … tracking portfolio in each period. We apply the proposed procedure using the popular cointegration technique in index tracking …