What Is an Index?

@article{Lo2016WhatIA,
  title={What Is an Index?},
  author={Andrew W. Lo},
  journal={The Journal of Portfolio Management},
  year={2016},
  volume={42},
  pages={21 - 36}
}
  • A. Lo
  • Published 31 January 2016
  • Economics
  • The Journal of Portfolio Management
Technological advances in telecommunications, securities exchanges, and algorithmic trading have facilitated a host of new investment products that resemble theme-based passive indexes, but depart from traditional market-cap-weighted portfolios. In this article, the author proposes broadening the definition of an index using a functional perspective. Any portfolio strategy that satisfies three properties should be considered an index: (1) it is completely transparent, (2) it is investable, and… 

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