Index Funds—Construction and Performance Measurement
研究了指数基金的构建方法，包括统计选择方法，并比较了四种构建方式在日本股市数据上的跟踪能力，强调投资者持有期对跟踪误差衡量指标选择的影响。
An index fund is an investment vehicle which mimics a stock-market index and thus exhibits market risk only. Fund managers can passively invest in index funds and concentrate on actively managing the remainder of their funds. This paper looks in detail at the use of statistical selection methods in the construction of these funds. The measurement of the ability of these funds to track the underlying index is examined. Emphasis is placed on the relevance of the horizon of the investor to the choice of measure of tracking error. Four different methods of index-fund construction are described and applied to Japanese stock-market data. The tracking abilities of the constructed funds, both in and out of sample, are compared and contrasted.