51 citations · 256 across the 30 of their papers we have counts for
5 papers · 1 filter
Diversifying an Index
Johannes Ruf
In July 2023, Nasdaq announced a `Special Rebalance' of the Nasdaq-100 index to reduce the index weights of its large constituents. A rebalance as suggested currently by Nasdaq ind…
Estimation of growth in fund models
Constantinos Kardaras, Hyeng Keun Koo, Johannes Ruf
Fund models are statistical descriptions of markets where all asset returns are spanned by the returns of a lower-dimensional collection of funds, modulo orthogonal noise. Equivale…
The impact of proportional transaction costs on systematically generated portfolios
Johannes Ruf, Kangjianan Xie
The effect of proportional transaction costs on systematically generated portfolios is studied empirically. The performance of several portfolios (the index tracking portfolio, the…
Diversification, Volatility, and Surprising Alpha
Adrian Banner, Robert Fernholz, Vassilios Papathanakos +2
It has been widely observed that capitalization-weighted indexes can be beaten by surprisingly simple, systematic investment strategies. Indeed, in the U.S. stock market, equal-wei…
Volatility and Arbitrage
E. Robert Fernholz, Ioannis Karatzas, Johannes Ruf
The capitalization-weighted total relative variation in an equity market consisting of a fixed number $d…