Three rules

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.”


Download PDFs

What is an Index?

An evaluation of smart beta and other rules-based active strategies

Dynamic Currency Hedging


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