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1、THEINDEXTRACKINGSTRATEGIESOFPASSIVEANDENHANCEDINDEXEQUITYFUNDSaAlexFrino†bDavidR.GallagheraTeddyN.OetomoFirstDraft:29November2002CurrentDraft:31October2003aFinanceDiscipline,SchoolofBusiness,TheUniversityofSydney,N.S.W.2006,AustraliabSchoolofBankingandFinance,TheUniversityofNewSouthWales,Syd
2、ney,N.S.W.2052,AustraliaABSTRACTThisstudyrepresentsthefirstempiricalexaminationofthedailytradingandportfolioconfigurationstrategiesofindexandenhancedindexequityfunds.Wefindindexandenhancedfundsearnreturnsandexhibitriskcommensuratewithunderlyingindices.Relativetoindexfunds,enhancedindexfundsa
3、refoundtoincurlowertradingcosts.Wedocumentthatindexandenhancedindexfundsexperiencesignificantlyhighertradedifficultyduringindexrevisionperiods.Intermsofportfolioconfiguration,incaseswhereindexandenhancedfundsdonotperfectlymimictheunderlyingbenchmark,bothfundtypesexhibitagreaterpropensitytoov
4、erweightstockswithhigherliquidity,largermarketcapitalizationandhigherpastperformance.Similarcriteriaarealsodocumentedforenhancedfunds'holdingsoutsidethebenchmark.Fornon-indexconstituents,enhancedfundsexhibitahigherpropensitytoride'winners'andsell'losers'.JELclassification:G23Keywords:Passive
5、funds;Enhancedindexfunds;TrackingError;Indexfunds;Portfolioconfiguration;Indexrevisions;Tradingstrategies.†Correspondingauthor.Theauthorsaregratefultotheindexinvestmentmanagers,MercerInvestmentConsultingandPortfolioAnalyticsfortheportfolioholdingsandtradingdatausedinthispaper.WethanktheSecur
6、itiesIndustryResearchCentreofAsia-Pacific(SIRCA)forprovidingtheASXSEATSdata.DavidR.GallagheralsogratefullyacknowledgesfinancialsupportfromMercerInvestmentConsulting.WealsothankGarrieLette,SimoneBrands,LesBalzer,PhillipDolan,EricSmith,PeterSwanandseminarparticipantsatTheUniversityofNewSouthWa
7、lesforhelpfulcomments.Mail:P.O.BoxH58AustraliaSquare,Sydney,NSW1215,Australia.Telephone:(+612)92369106.Email:david.gallagher@unsw.edu.auI.INTRODUCTIONThegrowthinpassiveorindexinvestmentmanagementhasbeensignificantoverthelastdecade.Bytheendoftheyear
