jump to navigation

Fundamental Indices February 25, 2010

Posted by federalist in Finance.

Assuming stock prices have any noise (and they certainly do) a smoothed-price-weighted index will outperform a market-cap-weighted index. (See also here and here.) The downside of such a strategy (as with anything other than a market-cap-weighted index) are the tax and transaction costs of turnover, which may not outweigh the benefits.



No comments yet — be the first.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google+ photo

You are commenting using your Google+ account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )


Connecting to %s

%d bloggers like this: