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The Journal of Index Investing

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Indexing Institutional Funds

Larry J. Prather, Ting-Heng Chu, M. Imtiaz Mazumder and Che-Chun Lin
The Journal of Beta Investment Strategies Winter 2011, 2 (3) 58-63; DOI: https://doi.org/10.3905/jii.2011.2.3.058
Larry J. Prather
is John Massey Endowed Chair and Professor of Finance at the John Massey School of Business at Southeastern Oklahoma State University in Durant, OK.
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  • For correspondence: lprather@se.edu
Ting-Heng Chu
is an associate professor of finance at the College of Business and Technology at East Tennessee State University in Johnson City, TN.
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  • For correspondence: chut@etsu.edu
M. Imtiaz Mazumder
is an assistant professor of finance at the College of Business at Saint Ambrose University in Davenport, IA.
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  • For correspondence: mazumderimtiaz@sau.edu
Che-Chun Lin
is an associate professor of finance in the Department of Quantitative Finance at National Tsing Hua University in Taiwan.
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  • For correspondence: chclin@mx.nthu.edu.tw
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Abstract

This article investigates alternative S&P 500 indexing strategies for institutional investors using S&P 500 institutional index mutual funds and the Standard and Poor’s Depository Receipts (SPDRs). This investigation is important because although SPDRs have lower advertised annual expenses, investors in SPDRs face bid–ask spreads and commissions. The authors present a model to illustrate how alternative index investments can be compared, compute average spreads using transaction-by-transaction data, compute risk-adjusted returns for the competing investments, and model the results under several scenarios.

TOPICS: Passive strategies, volatility measures, portfolio construction

  • © 2011 Pageant Media Ltd
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The Journal of Index Investing: 2 (3)
The Journal of Beta Investment Strategies
Vol. 2, Issue 3
Winter 2011
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Indexing Institutional Funds
Larry J. Prather, Ting-Heng Chu, M. Imtiaz Mazumder, Che-Chun Lin
The Journal of Beta Investment Strategies Nov 2011, 2 (3) 58-63; DOI: 10.3905/jii.2011.2.3.058

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Indexing Institutional Funds
Larry J. Prather, Ting-Heng Chu, M. Imtiaz Mazumder, Che-Chun Lin
The Journal of Beta Investment Strategies Nov 2011, 2 (3) 58-63; DOI: 10.3905/jii.2011.2.3.058
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  • Article
    • Abstract
    • A NEW ALTERNATIVE
    • THE DILEMMA
    • A PRACTICAL SOLUTION
    • DIFFERENTIAL CHARACTERISTICS BETWEEN ETFS AND MUTUAL FUNDS
    • DATA
    • METHODOLOGY
    • SPDR SPREADS
    • RISK-ADJUSTED RETURNS
    • RESULTS
    • ECONOMIC SIGNIFICANCE
    • SUMMARY, CONCLUSIONS, AND BENEFITS TO PRACTITIONERS
    • ENDNOTES
    • REFERENCES
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