Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Primary Article

Index Design and Implications for Index Tracking

Alex Frino, David R. Gallagher, Albert S. Neubert and Teddy N. Oetomo
The Journal of Portfolio Management Winter 2004, 30 (2) 89-95; DOI: https://doi.org/10.3905/jpm.2004.319934
Alex Frino
A professor of finance at the School of Business of the University of Sydney, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: a.frino@econ.usyd.edu.au
David R. Gallagher
A senior lecturer at the School of Banking and Finance of the University of New South Wales, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: david.gallagher@unsw.edu.au
Albert S. Neubert
President of A.S. Neubert Index Business Consulting, and a former memberof the S&P 500 Index Committee.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: asneubert@aol.com
Teddy N. Oetomo
A doctoral candidate at the School of Business of the University of Sydney, Australia.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: teddy@sirca.org.au
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading

Abstract

Tracking error in index fund performance is unavoidable. It arises because the underlying index is measured as a paper portfolio, and it is assumed perfect replication can be achieved instantaneously and without cost. Tracking error has two components: exogenous tracking error (the result of index rules and maintenance procedures applied to the underlying index) and endogenous tracking error (the result of the individual activities of index managers managing open-end passive funds). An examination of a sample of S&P 500 index mutual funds upon changes to the Index Divisor identifies a number of exogenous factors that are important determinants of tracking error for S&P 500 index funds.

  • © 2004 Pageant Media Ltd

Don’t have access? Click here to request a demo

Alternatively, Call a member of the team to discuss membership options

US and Overseas: +1 646-931-9045

UK: 0207 139 1600

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management
Vol. 30, Issue 2
Winter 2004
  • Table of Contents
  • Index by author
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Index Design and Implications for Index Tracking
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Index Design and Implications for Index Tracking
Alex Frino, David R. Gallagher, Albert S. Neubert, Teddy N. Oetomo
The Journal of Portfolio Management Jan 2004, 30 (2) 89-95; DOI: 10.3905/jpm.2004.319934

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Index Design and Implications for Index Tracking
Alex Frino, David R. Gallagher, Albert S. Neubert, Teddy N. Oetomo
The Journal of Portfolio Management Jan 2004, 30 (2) 89-95; DOI: 10.3905/jpm.2004.319934
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • The Ins and Outs of Index Tracking
  • Is the S&P 500 Index Tradable?
  • Active ETFs and Their Performance vis-a-vis Passive ETFs, Mutual Funds, and Hedge Funds
  • Why Track Inefficiency?
  • Google Scholar

More in this TOC Section

  • Pricing Stock and Bond Options in Incomplete Markets
  • Taming Global Village Risk
  • Expected Return and Risk of Covered Call Strategies
Show more Primary Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies