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Publication : Fundamental Differences? Comparing Alternative Index Weighting Mechanisms
Amenc, N., F. Goltz, V. Le Sourd (Avril 2008) " Fundamental Differences? Comparing Alternative Index Weighting Mechanisms ", EDHEC Publication. |
Résumé
While 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 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.
The commercial success of characteristics-based indices has been accompanied by lively debate in the industry and among researchers. Proponents of characteristics-based indices put forward a theory that attempts to show that capitalisation weighting leads to a performance drag in the presence of mispricing in the stock market (see Treynor 2005, Hsu 2006, Arnott and Hsu 2007, and Chen, Chen, and Bassett 2007). However, it has been argued these papers are based on inconsistent assumptions (Perold 2007 and Kaplan 2008).
The commercial success of characteristics-based indices has been accompanied by lively debate in the industry and among researchers. Proponents of characteristics-based indices put forward a theory that attempts to show that capitalisation weighting leads to a performance drag in the presence of mispricing in the stock market (see Treynor 2005, Hsu 2006, Arnott and Hsu 2007, and Chen, Chen, and Bassett 2007). However, it has been argued these papers are based on inconsistent assumptions (Perold 2007 and Kaplan 2008).
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Ce document constitue une synthèse de travaux scientifiques conduits au sein de l'EDHEC. Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay de la direction de la recherche de l'EDHEC : joanne.finlay@edhec.edu
Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC.
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Formation Continue : EDHEC Executive - Executive MBA - IMARISC - Cycle Supérieur de Management CSM - CEVE (BADGE CIF, Conseil en Investissements financiers) - Intras - Mastère Commerce et Innovation dans la Mode - EDHEC Asset Management Education
Groupe EDHEC : Stratégie - Historique - Campus - Travailler à l'EDHEC - Espace Média - Pôles de Recherche - Chaires - Fondation EDHEC
Contact : Contactez-Nous