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Indexation doesn't make sense

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Author Info
Harry. M Kat () (ICMA Centre, University of Reading)

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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!

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File URL: http://www.icmacentre.ac.uk/pdf/discussion/DP2002-26.pdf
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Publisher Info
Paper provided by Henley Business School, Reading University in its series ICMA Centre Discussion Papers in Finance with number icma-dp2002-26.

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Length: 10 pages
Date of creation: Nov 2002
Date of revision:
Handle: RePEc:rdg:icmadp:icma-dp2002-26

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