portfolio. This finding runs counter to the CAPM, and arises when noise traders distort prices, biasing index weights. When …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 …

Over the past decade, key trends have developed that will help shape the future direction of growth for the index … potential growth is the indexation of multi-asset solutions. Multi-asset solutions can potentially push the boundary of index … discussion. In this paper, the Index Research & Design team at S&P Dow Jones Indices explores the potential role of multi …

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 …

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 …