Description
January 2016
SIMPLYSTATED
References
Aked, Michael A., and Max Moroz. 2015. “The Market Impact
of Passive Trading.” Journal of Trading, vol. 10, no.
3 (Summer):5–12. Arnott, Robert, Noah Beck, and Vitali Kalesnik. 2015. “Rip Van Winkle Indexing.” Journal of Portfolio Management, vol.
41, no. 4 (Summer):50–67. Arnott, Robert D., and Stephen J. Vincent. 1986.
“S&P Additions and Deletions: A Market Anomaly.” Journal of Portfolio Management, vol. 13, no. 1 (Fall):29–33. Blume, Marshall E., and Roger M.
Edelen. 2004. “S&P 500 Indexers, Tracking Error, and Liquidity.” Journal of Portfolio Management, vol.
30, no. 3 (Spring):37–46. Chen, Honghui, Gregory Noronha, and Vijay Singal. 2004.
“The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation.” Journal of Finance, vol. 59, no. 4 (August):1901–1930. Kappou, Konstantina, Chris Brooks, and Charles Ward.
2010. “The S&P500 Index Effect Reconsidered: Evidence from Overnight and Intraday Stock Price Performance and Volume.” Journal of Banking & Finance, vol. 34, no. 1 (January):116-126. Lynch, Anthony W., and Richard R.
Mendenhall. 1996. “New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index.” NYU Working Paper.
Available at http:/ / papers.ssrn.com/sol3/papers.cfm?abstract_id=1298790. ABOUT THE AUTHOR Mike Aked is a senior member of the Research and Investment Management group. He concentrates his efforts on research and implementation of global tactical asset allocation strategies. Previously, he served as a managing director at the University of Virginia Investment Management Company, where he worked on portfolio and risk management. He also has worked for Sunsuper, an Australian superannuation fund, and at UBS Global Asset Management across four continents. Michael received a BA (with honors) in applied mathematics from the University of Sydney, an MS in statistics from the University of Virginia, and an MS in financial mathematics from the University of Chicago.
He is a member of CFA Institute and of the CFA Society of Washington DC. The material contained in this document is for information purposes only. This material is not intended as an offer or solicitation for the purchase or sale of any security or financial instrument, nor is it investment advice on any subject matter. Research Affiliates, LLC and its related entities do not warrant the accuracy of the information provided herein, either expressed or implied, for any particular purpose.
By accepting this document you agree to keep its contents confidential. No disclosure may be made to third parties regarding any information contained in this document without the prior permission of Research Affiliates, LLC. The trademarks Fundamental Index™, RAFI™, Research Affiliates Equity™, RAE™, and the Research Affiliates™ trademark and corporate name and all related logos are the exclusive intellectual property of Research Affiliates, LLC and in some cases are registered trademarks in the U.S. and other countries. Various features of the Fundamental Index™ methodology, including an accounting data-based non-capitalization data processing system and method for creating and weighting an index of securities, are protected by various patents, and patent-pending intellectual property of Research Affiliates, LLC.
(See all applicable US Patents, Patent Publications, Patent Pending intellectual property and protected trademarks located at http:/ /www.researchaffiliates.com/Pages/legal.aspx#d, which are fully incorporated herein.) Any use of these trademarks, logos, patented or patent pending methodologies without the prior written permission of Research Affiliates, LLC, is expressly prohibited. Research Affiliates, LLC, reserves the right to take any and all necessary action to preserve all of its rights, title, and interest in and to these marks, patents or pending patents. © Research Affiliates, LLC 620 Newport Center Drive, Suite 900 Newport Beach, California 92660 www.researchaffiliates.com .
3 (Summer):5–12. Arnott, Robert, Noah Beck, and Vitali Kalesnik. 2015. “Rip Van Winkle Indexing.” Journal of Portfolio Management, vol.
41, no. 4 (Summer):50–67. Arnott, Robert D., and Stephen J. Vincent. 1986.
“S&P Additions and Deletions: A Market Anomaly.” Journal of Portfolio Management, vol. 13, no. 1 (Fall):29–33. Blume, Marshall E., and Roger M.
Edelen. 2004. “S&P 500 Indexers, Tracking Error, and Liquidity.” Journal of Portfolio Management, vol.
30, no. 3 (Spring):37–46. Chen, Honghui, Gregory Noronha, and Vijay Singal. 2004.
“The Price Response to S&P 500 Index Additions and Deletions: Evidence of Asymmetry and a New Explanation.” Journal of Finance, vol. 59, no. 4 (August):1901–1930. Kappou, Konstantina, Chris Brooks, and Charles Ward.
2010. “The S&P500 Index Effect Reconsidered: Evidence from Overnight and Intraday Stock Price Performance and Volume.” Journal of Banking & Finance, vol. 34, no. 1 (January):116-126. Lynch, Anthony W., and Richard R.
Mendenhall. 1996. “New Evidence on Stock Price Effects Associated with Charges in the S&P 500 Index.” NYU Working Paper.
Available at http:/ / papers.ssrn.com/sol3/papers.cfm?abstract_id=1298790. ABOUT THE AUTHOR Mike Aked is a senior member of the Research and Investment Management group. He concentrates his efforts on research and implementation of global tactical asset allocation strategies. Previously, he served as a managing director at the University of Virginia Investment Management Company, where he worked on portfolio and risk management. He also has worked for Sunsuper, an Australian superannuation fund, and at UBS Global Asset Management across four continents. Michael received a BA (with honors) in applied mathematics from the University of Sydney, an MS in statistics from the University of Virginia, and an MS in financial mathematics from the University of Chicago.
He is a member of CFA Institute and of the CFA Society of Washington DC. The material contained in this document is for information purposes only. This material is not intended as an offer or solicitation for the purchase or sale of any security or financial instrument, nor is it investment advice on any subject matter. Research Affiliates, LLC and its related entities do not warrant the accuracy of the information provided herein, either expressed or implied, for any particular purpose.
By accepting this document you agree to keep its contents confidential. No disclosure may be made to third parties regarding any information contained in this document without the prior permission of Research Affiliates, LLC. The trademarks Fundamental Index™, RAFI™, Research Affiliates Equity™, RAE™, and the Research Affiliates™ trademark and corporate name and all related logos are the exclusive intellectual property of Research Affiliates, LLC and in some cases are registered trademarks in the U.S. and other countries. Various features of the Fundamental Index™ methodology, including an accounting data-based non-capitalization data processing system and method for creating and weighting an index of securities, are protected by various patents, and patent-pending intellectual property of Research Affiliates, LLC.
(See all applicable US Patents, Patent Publications, Patent Pending intellectual property and protected trademarks located at http:/ /www.researchaffiliates.com/Pages/legal.aspx#d, which are fully incorporated herein.) Any use of these trademarks, logos, patented or patent pending methodologies without the prior written permission of Research Affiliates, LLC, is expressly prohibited. Research Affiliates, LLC, reserves the right to take any and all necessary action to preserve all of its rights, title, and interest in and to these marks, patents or pending patents. © Research Affiliates, LLC 620 Newport Center Drive, Suite 900 Newport Beach, California 92660 www.researchaffiliates.com .
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