Index Fundamentalism Revisited
AbstractJared 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.
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Bibliographic InfoPaper provided by Duke University, Department of Economics in its series Working Papers with number 04-07.
Length: available upon request
Date of creation: 2004
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- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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- Rodriguez, Abel & Tower, Edward, 2007. "Do Vanguard's Managed Funds Beat Its Index Funds? Looking for Prescient Stock and Style Selection Draft 1," Working Papers 07-03, Duke University, Department of Economics.
- Edward Tower & Wei Zheng, 2010.
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- Premachandra, I.M. & Zhu, Joe & Watson, John & Galagedera, Don U.A., 2012. "Best-performing US mutual fund families from 1993 to 2008: Evidence from a novel two-stage DEA model for efficiency decomposition," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3302-3317.
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