IMPLEMENTATION OF ALTERNATIVE INDEX WEIGHTING TO WARSAW STOCK EXCHANGE
Kamil Nowak ()
Additional contact information
Kamil Nowak: Nicolaus Copernicus University
Copernican Journal of Finance & Accounting, 2016, vol. 5, issue 2, 163-179
Exchange Traded Funds are the fastest growing segment of investment management business. Over last eleven years ETF’s AUM grew over 2,000% This paper explores growing popularity of this investment vehicle and getting to the genesis of index tracking funds and to the roots of indexing, bares shortcomings of most common weighting scheme – capitalization weighting. Those flaws caused the rise of quantitative investing. The author reviews the literature in search of the most relevant Smart Beta definition and the reasons why this new investment concept is blooming nowadays. The substance of this paper is presentation of most popular alternative weighting schemes and exploration of their pros and cons by implementing those solutions to polish index WIG20. The impact of alternative weighting on performance of the index and its features has been synthesized and evaluated. In the result of this analyses and comparison cap-weighted WIG20 turned out to be the less effective weighting scheme.
Keywords: Smart Beta; Alternative indexing; Quantitative weighting; ETF (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cpn:umkcjf:v:5:y:2016:i:2:p:163-179
Access Statistics for this article
Copernican Journal of Finance & Accounting is currently edited by Leszek Dziawgo
More articles in Copernican Journal of Finance & Accounting from Uniwersytet Mikolaja Kopernika
Bibliographic data for series maintained by Miroslawa Buczynska ().