Since 2014
IMPLEMENTATION OF ALTERNATIVE INDEX WEIGHTING TO WARSAW STOCK EXCHANGE
Copernican Journal of Finance & Accounting
View Archive Info| Field | Value | |
| Title |
IMPLEMENTATION OF ALTERNATIVE INDEX WEIGHTING TO WARSAW STOCK EXCHANGE
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| Creator |
Nowak, Kamil; Nicolaus Copernicus University, Toruń
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| Subject |
Smart Beta; Alternative indexing; Quantitative weighting; ETF
G11 |
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| Description |
Exchange Traded Funds are the fastest growing segment of investment management business. Over last eleven years ETF’s AUM grew over 2,000% This paper explores growing popularity of this investment vehicle and getting to the genesis of index tracking funds and to the roots of indexing, bares shortcomings of most common weighting scheme – capitalization weighting. Those flaws caused the rise of quantitative investing. The author reviews the literature in search of the most relevant Smart Beta definition and the reasons why this new investment concept is blooming nowadays. The substance of this paper is presentation of most popular alternative weighting schemes and exploration of their pros and cons by implementing those solutions to polish index WIG20. The impact of alternative weighting on performance of the index and its features has been synthesized and evaluated. In the result of this analyses and comparison cap-weighted WIG20 turned out to be the less effective weighting scheme.
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| Publisher |
Uniwersytet Mikołaja Kopernika w Toruniu
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| Contributor |
—
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| Date |
2017-03-09
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/CJFA/article/view/CJFA.2016.021
10.12775/CJFA.2016.021 |
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| Source |
Copernican Journal of Finance & Accounting; Vol 5, No 2 (2016); 163-179
Copernican Journal of Finance & Accounting; Vol 5, No 2 (2016); 163-179 2300-3065 2300-1240 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/CJFA/article/view/CJFA.2016.021/11424
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| Coverage |
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| Rights |
Copyright (c) 2017 Copernican Journal of Finance & Accounting
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