Expert insight

Passive by name, active by nature

March 28, 2022

Relative returns through time
The aggregate of non-total market index funds doesn’t seem to track the market
This chart displays monthly gross excess returns of the aggregate of non-total market index funds, active funds, and total market index funds relative to the Dow Jones Total Stock Market Index from January 1995 to December 2020. The aggregate of total market index funds closely tracks the market. But the returns of the aggregate of active funds and non-total market index funds vary significantly from those of the market.
Factor-based style analysis
Industry weights of non-total market index funds are not market-cap proportional
This chart displays the differences in industry allocations between the asset weighted non-total market index fund portfolio and the underlying U.S. equity market represented by the Russell 3000 Index from January 1995 to December 2020.
Using index funds to construct portfolios that are active in nature
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Haifeng Wang
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