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:
“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.”
An evaluation of smart beta and other rules-based active strategies
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