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Origins Uses and Characteristics of U S Equity
Using Benchmarks to Measure Performance
The Evolution of MPT and the Benchmarking
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active managers active portfolios active return Aggregate analysis asset allocation asset class behavioral ﬁnance beneﬁts beta bond cap-weighted benchmark CAPM Chapter Citigroup classiﬁed companies constructors corporate deﬁned deﬁnition difﬁcult Dow Jones duration emerging markets equity indexes expected exposures factors ﬁnd ﬁrms ﬁrst ﬁxed ﬁxed-income ﬂoat adjustment forecasts Global growth stock hedge fund indexes hedge funds hold Ibbotson index construction index funds indexing and benchmarking inﬂation inﬂuence investment management investors large-cap Lehman Brothers liquidity Malaysia manager’s market cap market index mid-cap Morgan Stanley MSCI Number of stocks optimization pension plans percent performance measurement plan sponsors policy benchmark Portfolio Management proﬁt pure alpha rebalancing reconstitution effect reﬂect regression result retur n Russell securities small-cap speciﬁc Standard & Poor’s style benchmarks style indexes survivor bias tracking error trade-offs trading transaction costs valuation value and growth value investing weights Wilshire Style