资源描述：
《Index tracking strategies of passive and enhanced equity index funds》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、TheIndexTrackingStrategiesofPassiveandEnhancedIndexEquityFunds*byaAlexFrino†bDavidR.GallagheraTeddyN.OetomoAbstract:Thisstudyrepresentsthefirstempiricalexaminationofthedailytradingandportfolioconfigurationstrategiesofindexandenhancedindexequityfunds.Wedocumentthatpassivefundsbenefitfrom
2、employinglessrigidrebalancingandinvestmentstrategies.Duringindexrevisionperiods,enhancedindexfundscommenceportfoliorebalancingearlierthanindexfunds,andemploymorepatienttradingstrategies.Thisactivitytranslatesintohigherreturnsandlowertradingcostsforenhancedindexfunds.Incaseswherepassivef
3、undsdonotperfectlymimicthebenchmark,passivefundsexhibitagreaterpropensitytooverweightstockswithhigherliquidity,largermarketcapitalizationandhigherpastperformance.Fornon-indexportfolioholdings,enhancedfundsexhibitahigherpropensitytohold'winners'andsell'losers'.Keywords:PASSIVEFUNDS;ENHAN
4、CEDINDEXFUNDS;TRACKINGERROR;PORTFOLIOCONFIGURATION;INDEXREVISIONS;TRADINGSTRATEGIES.aFinanceDiscipline,SchoolofBusiness,TheUniversityofSydney,N.S.W.2006,AustraliabSchoolofBankingandFinance,TheUniversityofNewSouthWales,Sydney,N.S.W.2052,Australia†Correspondingauthor:david.gallagher@unsw.
5、edu.au*Theauthorsaregratefultotheindexinvestmentmanagers,MercerInvestmentConsultingandPortfolioAnalyticsfortheportfolioholdingsandtradingdatausedinthisstudy.WethanktheSecuritiesIndustryResearchCentreofAsia-Pacific(SIRCA)forprovidingtheASXSEATSdata.DavidGallagheralsogratefullyacknowledge
6、sfinancialsupportfromMercerInvestmentConsultingandfromtheAustralianResearchCouncil(DP0346064).TeddyOetomoalsothankstheCRCforTechnologyEnabledCapitalMarketsforresearchfunding.Wealsothankananonymousreferee,LesBalzer,KarenBenson,SimoneBrands,HowardChan,PhillipDolan,DianeDelGuercio,EdwinElt
7、on,FrankFinn,MartinGruber,PatrickHodgens,PaulKofman,GarrieLette,AdrianLooi,MattPinnuck,EricSmith,PeterSwan,GarryTwite(AreaEditor),TerryWalter,seminarparticipantsatthe2003AustralasianFinanceandBankingConference,the2004AFAANZConference,TheUniversityofNewSouthWales,TheUniversityof
