Indexation doesn't make sense

Harry Kat

ICMA Centre Discussion Papers in Finance from Henley Business School, University of Reading

Abstract: In this brief note we argue that for investors that are serious about matching (the risks of) assets and liabilities, indexation is a doubtful proposition as significant autonomous changes may occur in the industry allocation and accompanying risk-return profile of the portfolio underlying the index. The name of the index may not change, but the underlying portfolio does!

Pages: 10 pages
Date: 2002-11
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