Exclude with Impunity: Personalized Indexing and Stock Restrictions
通过模拟历史回测，研究股票排除对被动和主动投资组合表现的影响，发现排除少量至中等数量股票对被动组合影响很小，对主动组合的影响也远小于排除比例所暗示的，投资者可放心排除较多股票。
Using simulated historical backtests, we study the impact of stock exclusions on the performance of passive and active portfolios. We find that at low to moderate numbers, stock exclusions have very little influence on passive portfolios. Their effects on active portfolios vary by the factor in consideration and the portfolio construction method, but the magnitudes are much smaller than suggested by the percentage of stocks being excluded. We find similar patterns with industry-concentrated exclusions. Overall, our results suggest that investors should feel comfortable excluding a fairly large number of stocks before experiencing any significant deterioration in their investment performance.