Index Fundamentalism Revisited

Edward Tower and Kenneth S. Reinker

No 04-07, Working Papers from Duke University, Department of Economics

Abstract: Jared Kizerís analysis indicates the return to stock-picking skills is not enough to offset the additional transactions costs of a managed portfolio. Thus the superior performance of Vanguardís managed portfolio was due entirely to its tendency to overweight small stocks and value stocks relative to the index portfolio during a period when stocks with these two characteristics outperformed the market. So, it is style-picking skill rather than stock picking skill that leads to the superiority of the managed portfolio in this particular instance. Similarly, style-picking skill explains the lower risk for the managed portfolio.

JEL-codes: G11 (search for similar items in EconPapers)
Pages: available upon request
Date: 2004
New Economics Papers: this item is included in nep-rmg
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Citations: View citations in EconPapers (4)

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Working Paper: Index Fundamentalism Revisited (2003)
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