RT Journal Article
SR Electronic
T1 What’s in Your Benchmark? <em>A Factor Analysis of Major Market Indexes</em>
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 66
OP 79
DO 10.3905/jii.2018.9.2.066
VO 9
IS 2
A1 Ananth Madhavan
A1 Aleksander Sobczyk
A1 Andrew Ang
YR 2018
UL https://pm-research.com/content/9/2/66.abstract
AB The authors examine the factor exposures of several popular market-capitalization indexes and how they vary over time. The authors find that most market-capitalization-weight indexes are effectively exposed to only two or three factors, with value and momentum being increasingly dominant. They find that the proportion of index movements explained by factors has materially increased in recent years, which is consistent with a more top-down, macro-driven environment or the increasing importance of economy-wide risks for financial markets.TOPICS: Analysis of individual factors/risk premia, mutual funds/passive investing/indexing, performance measurement, risk management