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Allocation Characteristics of Index Weighting Schemes

Lars Kaiser

出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=_i4BzwEACAAJ&hl=&source=gbs_api

註釋

This study sheds light on the entanglement of index weighting schemes. We show that a high degree of absolute holdings overlap is not a sufficient measure of the level of conformity with a benchmark. Secondly, we take a closer look at portfolio concentration and market contagion, and monitor a pattern where index weighting schemes experience highly correlated returns after 2008, alongside a drop in relative portfolio holdings overlap during periods of increased market volatility. We are able to show that portfolio concentration is caused by a 'flight to familiarity' and as such, the impact of market contagion is largely consistent across alternative index weighting schemes.