This web page contains the current opinions of Eric E.
Les Risques en Bourse
New Guinea Energy Ltd. Plato Income Maximiser Limited. Sandon Capital Investments Limited. Wealth Defender Equities Limited. Westoz Investment Company Limited. Watermark Market Neutral Fund Limited. Aurora Global Income Trust. Ellerston Asian Investments Limited. Ellerston Global Investments Limited.
Fat Prophets Global Property Fund. Hearts and Minds Investments Limited. L1 Long Short Fund. Morphic Ethical Equities Fund Limited. Platinum Asia Investments Limited. Pengana International Equities Limited. Spheria Emering Companies Limited.
Basically, this fund invests in futures and futures derivatives designed to track the Bloomberg Commodities Index Excess Return. It invests enough in these futures to simulate full investment in Commodities.
A smaller portion of the portfolio is set aside as collateral. The remaining cash is invested in short-term investment grade bonds. Actually, tracking the index closely isn't a goal of the fund.
The fund tries to add value by NOT slavishly tracking the index. For example, it tries to roll its futures on days other than those specified by the index. Further, it uses a "variable maturity" strategy on its futures exposure, aiming to target futures maturities which suggest higher future returns. It invest the collateral in short-term investment-grade fixed income securities.
For more information on ETFs, see here. This is a very new fund that will be quite illiquid until it gains substantial assets. Basically, this fund invests in futures derivatives designed to track the Bloomberg Commodities Index Excess Return. The remaining cash is invested in TIPS. This is intended to be a disincentive to use the fund for short-term trading. It invests the collateral in short-term bonds. Basically, this fund invests in commodities futures in its attempt to track the Summerhaven Dynamic Commodity Index - Excess Return Index, a custom commodity index created by Summerhaven Indexing.
It invest the collateral in short-term treasuries. These investors believe that they can get a better result because other investors are not very good.
The capital asset pricing model says that all investors are highly intelligent, and it is impossible to do better than the market portfolio, the capitalization-weighted portfolio of all assets. However, empirical tests conclude that market indices are not efficient. The practical conclusion is that using capitalization-weighted portfolios is not necessarily the optimal method.
As a consequence, capitalization-weighting has been subject to severe criticism see e. Haugen and Baker , Amenc, Goltz, and Le Sourd , or Hsu , pointing out that the mechanics of capitalization-weighting lead to trend-following strategies that provide an inefficient risk-return trade-off.
Also, while capitalization-weighting is the standard in equity index construction, different weighting schemes exist. There has been an accelerating trend in recent decades to invest in passively managed mutual funds that are based on market indices, known as index funds. Scorecard," which measures the performance of indices versus actively managed mutual funds, finds the vast majority of actively managed mutual funds underperform their benchmarks.
Since index funds attempt to replicate the holdings of an index, they eliminate the need for — and thus many costs of — the research entailed in active management, and have a lower churn rate the turnover of securities which lose fund managers' favor and are sold, with the attendant cost of commissions and capital gains taxes.
Indices are also a common basis for a related type of investment, the exchange-traded fund or ETF. Unlike an index fund, which is priced daily, an ETF is priced continuously, is optionable, and can be sold short.
A notable specialized index type is those for ethical investing indices that include only those companies satisfying ecological or social criteria, e. In , the OIC announced the initiation of a stock index that complies with Islamic law 's ban on alcohol, tobacco and gambling.
Another important trend is strict mechanical criteria for inclusion and exclusion to prevent market manipulation, e. Ethical indices have a particular interest in mechanical criteria, seeking to avoid accusations of ideological bias in selection, and have pioneered techniques for inclusion and exclusion of stocks based on complex criteria.
Another means of mechanical selection is mark-to-future methods that exploit scenarios produced by multiple analysts weighted according to probability, to determine which stocks have become too risky to hold in the index of concern. Critics of such initiatives argue that many firms satisfy mechanical "ethical criteria", e.
Indeed, the seeming "seal of approval" of an ethical index may put investors more at ease, enabling scams. One response to these criticisms is that trust in the corporate management, index criteria, fund or index manager, and securities regulator, can never be replaced by mechanical means, so " market transparency " and " disclosure " are the only long-term-effective paths to fair markets.
From a financial perspective, it is not obvious whether ethical indices or ethical funds will out-perform their more conventional counterparts. Theory might suggest that returns would be lower since the investible universe is artificially reduced and with it portfolio efficiency. On the other hand, companies with good social performances might be better run, have more committed workers and customers, and be less likely to suffer reputational damage from incidents oil spillages, industrial tribunals, etc.
Sharpe Indexing Achievement Awards are presented annually in order to recognize the most important contributions to the indexing industry over the preceding year. Media related to Stock market indexes at Wikimedia Commons.