Categorical Evaluation of Alternative Index Weighting Schemes

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Kaiser, L. (2015). Categorical Evaluation of Alternative Index Weighting Schemes. Paper presented at the 2015 FMA European Conference, Venice (Italy).


Präsentation auf Konferenz


The direction of this study is not to derive a conclusion on the superiority of single strategies from a pure risk-return perspective, but rather provide a guideline on a more accurate and representative categorisation on index weighting schemes. We start of by defining three categories of index construction methods and, thereon, allocate 16 alternative index weighting schemes. Empirical evidence confirms commonalities amongst peers in terms of the distributions of returns, portfolio concentration, a range of risk metrics and a return attribution analysis according to traditional and newly introduced industry-based risk factors. Furthermore, we consider static and dynamic norm constraints to shift sampling approaches closer to the pre-defined benchmark, whilst determining the impact of a substitution from the classical value-weight point of reference to an equally-weighted benchmark portfolio.


Quantitatives Investment Management und Portfoliooptimierung
Dissertation, März 2011 bis Februar 2015 (abgeschlossen)

Der Fokus der vorliegend kumulativen Dissertation lässt sich in drei Teilbereiche unterteilen. Die ersten beiden Teile befassen sich mit der Reduzierung von Schätzfehlern in Bezug auf Rendite und ... mehr



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