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Index Fundamentalism Revisited

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  • Tower, Edward
  • Reinker, Kenneth S.

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.

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Bibliographic Info

Paper provided by Duke University, Department of Economics in its series Working Papers with number 04-07.

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Length: available upon request
Date of creation: 2004
Date of revision:
Handle: RePEc:duk:dukeec:804-07

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Postal: Department of Economics Duke University 213 Social Sciences Building Box 90097 Durham, NC 27708-0097
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Web page: http://econ.duke.edu/

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Cited by:
  1. Edward Tower & Wei Zheng, 2010. "Ranking Mutual Fund Families: Minimum Expenses and Maximum Loads as Markers for Moral Turpitude," Working Papers 10-12, Duke University, Department of Economics.
  2. 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.

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