The Dirty Little Secret of Passive Investing - January 2016

Research Affiliates

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January 2016 SIMPLYSTATED References Aked, Michael A., and Max Moroz. 2015. “The Market Impact of Passive Trading.” Journal of Trading, vol. 10, no.

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“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.

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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.

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