Wolf in Sheep's Clothing: The Active Investment Strategies behind Index Performance
指出常用市场指数实际上隐含主动投资管理，其筛选和再平衡规则使指数成分高度排他且动态变化，导致被动跟踪指数变成一种主动策略，并在不同市场环境下表现差异。
Abstract This paper argues that the commonly used market indices imply forms of active investment management in disguise. The selection and rebalancing rules make these indices highly exclusive and dynamic regarding their underlying components and significantly bias their performance. Any passive investment tracking these indices turns into an active strategy characterised by market timing and state‐dependent performance. Evidence is provided that exclusive indices outperform (underperform) more inclusive peer indices in upward (downward) markets. The constitution and maintenance rules of exclusive indices correspond to a set of active trading and investment rules similar to momentum strategies.