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 introduce and evaluate the NOVIX - an implied volatility index for the Norwegian equity index OBX. NOVIX is created …

A capitalization-weighted index is the most common way to gain access to broad equity market performance. These …

. 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 …

index additions, reflect well-established regularities in asset returns independent of index membership. Specifically, we … document that index additions are preceded by extraordinary market and earnings performance of the event firms and that – after … systematic risk. The permanent value effect which has been attributed to index membership is a manifestation of the momentum in …

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 …