Three rules

January 13, 2016

Below are three papers and presentations on indexes and some modern applications, which sounds boring, but is actually pretty interesting.

First, we have Prof Lo with a white paper on indexes.

Next up is a short piece by Vanguard on smart beta.

Lastly, a PPT from WisdomTree on their new Dynamic Hedged FX Indexes.  Cool idea!

Quote from Lo then downloads:

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“I propose broadening the definition of an index using a functional perspective—any portfolio strategy that satisfies three properties should be considered an index: (1) it is completely transparent; (2) it is investable; and (3) it is systematic, i.e., it is entirely rules-based and contains no judgment or unique investment skill.”

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Download PDFs

Websites

http://alo.mit.edu/

https://advisors.vanguard.com

http://www.wisdomtree.com/

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