Research and publications
Fundamental Differences? Comparing Alternative Index Weighting Mechanisms
le an ever increasing share of equity assets is invested in indexing strategies, the standard practice of using capitalisation weighting to construct stock market indices has been the object of muc ...
Author(s):
Noël Amenc, Felix Goltz, Véronique Le Sourd
Summary:
le an ever increasing share of equity assets is invested in indexing strategies, the standard practice of using capitalisation weighting to construct stock market indices has been the object of much criticism. In response to this criticism, equity indices with different weighting schemes have emerged. Some indices use "fundamental" metrics (Arnott, Hsu, and Moore 2005) to weight the component stocks. In recent years, the market for such characteristics-based indices has grown tremendously, with more and more providers launching and offering them. Institutional investors have allocated significant amounts to these alternatives to value-weighted indices. Likewise, a wide range of exchange-traded funds on these new indices is now available.
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Register/Log in| Type : | EDHEC Publication |
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| Date : | 18/04/2008 |
| Keywords : |
Indexes |
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