CFA Lecture

Recouping the (Remarkably Large) Hidden Costs of Index Fund Management
Mo. 26. September 2022 12:00 - 13:00
Eventort virtuell
Details

Everyone knows what’s right about indexing, but there are under-appreciated travails that traditional indexers face. What ideas might improve index fund management?

Traditional capitalization-weighted indices generally add stocks with high valuation multiples after persistent outperformance and sell stocks at low valuation multiples after persistent underperformance. For the S&P 500 Index, in the year after a change in the index, additions lose relative to discretionary deletions by about 22%. Simple rules, such as trading ahead of index funds or delaying reconstitution trades by 3 to 12 months, can add up to 23 basis points (bps). This benefit doubles when we cap-weight a portfolio not selected on market value, but based on the fundamental size of a business or its multi-year average market cap.

Tickets
regulärer Preis € 35,00
Member Preis € 0,00
Tickets verfügbar 14 Tickets
26. Sep 2022
Credits
PL-Credits 1,0
SER-Credits 0,0

Sprecher

xs [from 0]
sm [from 768]
md [from 1024]
lg [from 1440]
xl [from 1680]
xxl [from 1920]
WxH: x
show/hide theGrid
1
2
3
4
5
6
7
8
9
10
11
12
13
14