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The Resource Indexing for Maximum Investment Results

Indexing for Maximum Investment Results

Indexing for Maximum Investment Results
Indexing for Maximum Investment Results
First Published in 2001. Routledge is an imprint of Taylor & Francis, an informa company
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Indexing for Maximum Investment Results
Indexing for Maximum Investment Results
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  • Cover -- Title -- Copyright -- Contents -- Preface -- Contributors -- Chapter 1-Why the Case for Indexing Remains Strong -- The Intellectual Case for Indexing -- The Critique of Indexing -- The Indexing Counter-Attack -- Evidence of Market Efficiency: The Performance of Professional Investors -- Criticism of Too Narrow a Definition of Indexing -- References -- Chapter 2-Benchmarks: Definitions and Methodologies -- Chapter 3-The First Index Mutual Fund -- Introduction -- The Beginning -- The Introduction of the First Index Fund -- The Underwriting of the First Index Fund: 1976 -- The Early Development of the First Index Fund: 1977-1982 -- Index Growth Continues: 1983-1986 -- The March to the 1 Billion Milestone and Beyond: 1987-1990 -- The Evolution of an Index Strategy: 1991-1993 -- The Triumph of Indexing: 1994-1996 -- The Industry Finally Responds -- Will The Past Be Prologue to the Future? -- Appendix Performance Summary -- Chapter 4-Optimal Indexing -- The Objective -- A Digression on Risk Modeling -- Techniques for Tracking an Index -- Alternatives to Replication -- Largest Holdings -- Stratified Sampling -- Optimization -- Empirical Investigation -- Conclusion -- Bibliography -- Chapter 5-Enhanced Indexing-Without Enhanced Risk? -- The Playing Field -- The Yardstick -- The Players -- Instant Replay -- The Wrap-Up -- Appendix -- Chapter 6-Choosing a Benchmark -- Active versus Passive Benchmarks -- Asset Class Exposure -- Index Methodologies -- Liquidity -- Ownership Restrictions -- Derivatives -- Investor Goals versus Manager Concerns -- Chapter 7-The "S&P Effect" Has Moved Beyond the S&P Composite -- Assets Under Management Are Rising -- The Measurement Period Has Changed -- Management of the Indexes Causes Some Changes -- The S&P Effect Is Well Documented -- The Small-Cap S&P Effect Started in 1996
  • Dropping Into the S&P SmallCap Isn't Necessarily Great for Performance -- SmallCap Deletions Arise for Three Major Reasons -- Moving to the MidCap Index Gives Stocks a Short-Term Lift -- Being Dropped From the Index Isn't the Kiss of Death -- The Mid-Cap S&P Effect Seems to Have Peaked -- Stocks Coming From the Composite Have Fared Poorly -- MidCap Deletions Fit Into Four Categories -- The Impact on Deletions Didn't Hit Until 1995 -- Being Dropped From the MidCap Index Is a Mixed Blessing -- The S&P Effect Has Its Place for the Short-Term-Oriented Investor -- Reference -- Chapter 8-The S&P500 is Not Your Father's Index -- The "Market Portfolio" -- A Valuation and Performance Standard -- How Old is Old? -- The S&P500 is Not Market, it's an Evolving Portfolio -- Scope of This Study -- Indication is No Panacea -- The Evolution of the S&P500 -- Managing the Index Portfolio -- Mergers and Acquisitions -- Recent Additions -- Development of New Indexes -- Valuation: The Determining Factors -- Dividend Policy -- Share Buybacks -- Competitive Advantage -- Profit Margins: The Law of Diminishing Returns -- The Rise in Service Orientation -- The Decline of Regulation -- Valuation Implications: The Relative Multiple Trap -- A New "Nifty" 50 -- A New Paradigm? -- Chapter 9-Performance Track Record versus Active Management -- Introduction -- Academic Articles On Indexing -- Nonacademic Articles On Index Funds -- Data Review -- Morningstar Data to December 31, 1996 -- Conclusions -- Summary -- Chapter 10-Overview of the Equity Index Fund Marketplace -- Strength of Index Mutual Fund Market -- Domestic Indices -- International Indices -- Index Fund Availability -- Chapter 11-Implementing Equity Index Portfolios -- Introduction -- Purchasing Equities Directly -- Trading -- Derivative Strategies -- Summary -- Appendix -- References
  • Chapter 12-Adding Value Through Equity Style Management -- Why Equity Style Matter -- Equity Style Allocation Matches Asset Class Allocation in Importance -- Capturing Excess Return: Current Fund Composition -- What Are the Advantages of Custom Portfolios? -- Tactical Versus Dynamic Equity Style Allocation -- Conclusion -- Chapter 13-Using Style Analysis to Build Completeness Funds -- Completeness Funds Are Dynamic -- Chapter 14-Index Shares -- Index Shares Mechanics -- Creation/Redemption of index Shares -- Secondary Market Trading -- Advantages of Index Shares -- The Future of Index Shares -- Endnotes -- References -- Chapter 15-Fixed-Income Indexing -- Introduction -- The Dimensionality of the U.S. Bond Market -- Stratified Sampling -- Optimization -- Tracking Error -- Rebalancing -- Pitfalls for Indexers -- Enhanced Indexing -- Indexing to International Fixed-Income Benchmarks -- Does Indexing to Broad Capitalization Indexes Make Sense? -- Summary -- Chapter 16-The Tax Advantages of Indexing -- The Impact of Taxes on Investment Returns -- Investment Activity Determines Tax Liabilities -- Tax Advantages of Popular Index Strategies -- Chapter 17-Optimizing Performance -- The Difficulty of Matching an Index Return -- Maximizing an Index Fund -- Adding to the Fund's Returns -- Trading and Transaction Costs Management -- Putting It All Together to Maximize Return -- Appendix -- Chapter 18-The Licensing of Financial Indexes: Implications for the Development of New Index-Linked Investment Products -- Introduction -- Licensing Agreements Between Index Producers and Developers of Index-Linked Products -- Financial Indexes as Intellectual Property: Past and Present -- The Current Scope of Intellectual Property Legal Protections -- Conclusion -- Index
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1st ed.
1 online resource (399 pages)
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