TY - JOUR T1 - Is There Value in Large Cap Index Selection? JF - The Journal of Beta Investment Strategies DO - 10.3905/jbis.2023.1.032 SP - jbis.2023.1.032 AU - Chris Romano Y1 - 2023/01/27 UR - https://pm-research.com/content/early/2023/01/27/jbis.2023.1.032.abstract N2 - The rise of passive investing is shining a new light on the world of Indexing. Indexing is all around us today, whether being discussed by a media outlet showing the movements of the day or a newly launched passive ETF that tracks a recently created index. But there is little research on whether picking one index over another provides value to the investor when the indexes all share very similar index construction methodologies. Is there value in selecting one over the other or should investors choose the one that is the most accessible or cheapest to access? This article aims to fill that gap by conducting a comparative analysis of US Large Cap indexes that are substantially similar in their construction methodologies. As expected, the indexes selected perform very similar to one another based on the quantitative methods used within the analysis. Other than number of securities, the largest difference among the indexes is their exposure to Mid-Cap stocks. The decision of which index to select is dependent on the application being selected. This article focuses on the four purposes outlined by DiBartolomeo (2019) which are: journalistic, representation of an asset class, a fair benchmark, and basis of passive investment. In most cases, each index is a reasonable substitution for the others. Given that risk and return profiles are similar, factors such as number of securities, licensing costs, and brand value are the most significant to consider. This is especially true when selecting an index as the basis of a passive product, where those factors affect the product cost and capacity that can determine the success or failure of a passive product. ER -