Investors and managers are dissatisfied with the stock market indices they use as benchmarks according to a new survey by EDHEC.
Investors and managers are dissatisfied with the stock market indices they use as benchmarks according to a new survey by EDHEC. The survey – Reactions to the EDHEC Study ‘Assessing the Quality of Stock Market Indices’ – was conducted by Felix Goltz and Guang Feng of the EDHEC Risk and Asset Management Research Centre.
The investors surveyed all agree that they need a benchmark, but are dissatisfied with equity indices. A majority of them share EDHEC’s opinion on the poor quality of cap-weighted indices in terms of inefficiency and the instability of their exposure to risk factors.
Customised indices made up of a combination of sector or geographical indices are investors’ favoured solution for constructing their benchmark, but equal-weighted and fundamental indices have made ground.
According to the survey, more than 80% of investors and managers plan to change their benchmark now or in the near future.