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Index changes and losses to index fund investors
Because of arbitrage around the time of index changes, investors in funds linked to the S&P 500 Index and the Russell 2000 Index lose between $1.0 billion and $2.1 billion a year for the two indices combined. The losses can be higher if benchmarked assets are considered, the pre-reconstitution period is lengthened, or involuntary deletions are taken into account. The losses are an unexpected consequence of the evaluation of index fund managers on the basis of tracking error. Minimization of tracking error, coupled with the predictability and/or pre-announcement of index changes, creates the opportunity for a wealth transfer from index fund investors to arbitrageurs.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| FAJ6204 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Virginia: CFA Institute 2006 |
|---|---|
| Edisi | Vol. 62, No. 4, Jul. - Aug., 2006 |
| Subjek | index fund losses index management tracking error minimization index reconstitution effects silent indices arbitrageurs S&P 500 and Russell 2000 Arbitrage |
| ISBN/ISSN | 0015198X |
| Klasifikasi | NONE |
| Deskripsi Fisik | 17 p. |
| Info Detail Spesifik | Financial Analysts Journal |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |