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Indexation doesn't make sense

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  • Harry. M Kat

    (ICMA Centre, 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!

Suggested Citation

  • Harry. M Kat, 2002. "Indexation doesn't make sense," ICMA Centre Discussion Papers in Finance icma-dp2002-26, Henley Business School, University of Reading.
    • Handle: RePEc:rdg:icmadp:icma-dp2002-26
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    File URL: http://www.icmacentre.ac.uk/pdf/discussion/DP2002-26.pdf
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