Index Fundamentalism Revisited—Redux

Abstract

The findings in ?Index Fundamentalism Revisited? on the relative performance of Vanguard synthetic active and index portfolios are explained largely by differing exposures to the value and small–stock premiums. Other findings such as the relative 15–year annualized returns and relative 2000–2002 performance of the two portfolios are similarly explained. Left unexplained is the synthetic active portfolio's lower volatility relative to the synthetic index portfolio.