Index design and implications for index tracking

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dc.contributor.author Frino, A
dc.contributor.author Gallagher, DR
dc.contributor.author Neubert, A
dc.contributor.author Oetomo, T
dc.date.accessioned 2010-06-16T05:04:03Z
dc.date.issued 2004-01
dc.identifier.citation Journal of Portfolio Management, 2004, 30 (2), pp. 89 - 95
dc.identifier.issn 0095-4918
dc.identifier.other C3 en_US
dc.identifier.uri http://hdl.handle.net/10453/12245
dc.description.abstract Index funds aim to deliver the returns and the risk of an underlying benchmark index. Researchers focus on four exogenous determinants, revisions in S&P 500 index composition, share issuances, share repurchases, and spin-offs, as well as two related factors that are associated with index maintenance rules, the treatment of dividends by the index, and implicit transaction costs that are incurred when changes arise in the Index Divisor. This research on the exogenous determinants of tracking error in S&P 500 index funds that arise from amendments to the Index Divisor and the effect of transaction costs and the treatment of dividends should be of significant interest to the investment industry, particularly index committees, investors, and mutual fund managers. If they better understand the drivers of tracking error, market participants can more easily see the implications that maintenance of an index might have for index-mimicking portfolios. Tracking error is found to be significantly related to index revisions, share issuances, spin-offs, share repurchases, index replication strategy, and fund size. And index funds also exhibit a seasonal pattern in tracking error.
dc.format No Code
dc.publisher Institutional Investor
dc.title Index design and implications for index tracking
dc.type Journal Article
dc.parent Journal of Portfolio Management
dc.journal.volume 2
dc.journal.volume 30
dc.journal.number 2 en_US
dc.publocation US en_US
dc.identifier.startpage 89 en_US
dc.identifier.endpage 95 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 150201 Finance
dc.personcode 107326
dc.percentage 100 en_US
dc.classification.name Finance en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Closed (ID: 3)


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