Professor Raman Uppal of EDHEC-Risk Institute Co-Recipient of First Prize from S&P at the SPIVA Awards

Written on 23 March 2012.


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The first annual SPIVA Awards support researchers from around the world that explore innovative techniques that enhance the use of indices in the financial markets. The awards were launched by S&P Indices as an international programme that recognises excellence in research on the topic of index-related applications. The first prize is awarded for distinctive, high-quality research in the use of financial market indices for investment analysis and management.

The laureates were selected by a jury of academics and industry experts consisting of David M. Blitzer, Managing Director and Chairman of the S&P Index Committee; Antii Petajisto, Visiting Assistant Professor of Finance at New York University Stern School of Business; Robert E. Whaley, Professor of Management and Co-Director of the Financial Markets Research Center at Vanderbilt University; Srikant Dash, Managing Director at S&P Indices; Vijay Singal, J. Gray Ferguson Chair Professor of Finance at the Pamplin College of Business, Virginia Tech; and Harold Evensky, President of Evensky & Katz and former Chair of the TIAA-CREF Institute Advisory Board.

The winning study compares the performance of equal-, value-, and price-weighted portfolios of stocks in the major U.S. equity indices over the last four decades. It finds that the equal-weighted portfolio with monthly rebalancing outperforms the value- and price-weighted portfolios in terms of total mean return, four factor alpha, Sharpe ratio, and certainty-equivalent return, even though the equal-weighted portfolio has greater portfolio risk. The total return of the equal-weighted portfolio exceeds that of the value- and price-weighted because the equal-weighted portfolio has both a higher return for bearing systematic risk and a higher alpha when using the four-factor model.

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