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.”
Get a Free Subscription!
If you send me an email with a link or attachment to a piece you think readers would love, and I use the piece, I will happily give you $100 off your subscription. This is worth a free quarter of the Farm at current levels.
Send all emails to email@example.com with “RESEARCH” in the subject line.