Nwogugu | Indices, Index Funds And ETFs | Buch | sack.de

Nwogugu Indices, Index Funds And ETFs

Exploring HCI, Nonlinear Risk and Homomorphisms

1. Auflage 2018, 696 Seiten, Gebunden, Book, Format (B × H): 153 mm x 213 mm, Gewicht: 1052 g
ISBN: 978-1-137-44700-5
Verlag: Springer Palgrave Macmillan

Nwogugu Indices, Index Funds And ETFs

Indices, index funds and ETFs are grossly inaccurate and inefficient and affect more than €120 trillion worth of securities, debts and commodities worldwide. This book analyzes the mathematical/statistical biases, misrepresentations, recursiveness, nonlinear risk and homomorphisms inherent in equity, debt, risk-adjusted, options-based, CDS and commodity indices – and by extension, associated index funds and ETFs. The book characterizes the “Popular-Index Ecosystems,” a phenomenon that provides artificial price-support for financial instruments, and can cause systemic risk, financial instability, earnings management and inflation. The book explains why indices and strategic alliances invalidate Third-Generation Prospect Theory (PT3), related approaches and most theories of Intertemporal Asset Pricing. This book introduces three new decision models, and some new types of indices that are more efficient than existing stock/bond indices. The book explains why the Mean-Variance framework, the Put-Call Parity theorem, ICAPM/CAPM, the Sharpe Ratio, Treynor Ratio, Jensen’s Alpha, the Information Ratio, and DEA-Based Performance Measures are wrong. Leveraged/inverse ETFs and synthetic ETFs are misleading and inaccurate and non-legislative methods that reduce index arbitrage and ETF arbitrage are introduced.




Weitere Infos & Material

Chapter 1 . Introduction .

1.1. How this Book Differs from Other Books About ETFs, Indices and Index Funds.

1.2. Regulatory Failure, Regulatory Capture and Regulatory Fragmentation.

1.3. Some Mathematical Commonalities Among Debt, Equity and Commodity Indices.

1.4. The Chapters: Activity Theory and HCI.

1.5. Momentum Effects, Systemic Risk and Financial Instability.

1.6. The Usefulness of Alpha and Beta as Currently Construed; and the Debate About Active Management versus Passive Management.

1.7. ETFs vs. Mutual Funds vs. Closed-End Funds.

1.8. The Case-Shiller Real Estate Indices Are Very Inaccurate and Mis-leading.

1.9. Tax Aspects of Investing in ETFs and Indices.

1.10. Forecasting and Comparisons of Stock Indices and ETFs.

1.11. Network Analysis and Complexity in Stock Indices and ETFs.

Chapter 2 . Decision-Making and Spatio-Temporal Cognitive Biases and Homomorphisms in Traditional Stock/Bond/Commodity Index Calculation Methods in Incomplete Markets with Partially Observable Un-Aggregated Preferences, MN-Transferable-Utilities and Regret-Minimization Regimes.

2.1. Existing Literature.

2.1.1. Traditional Indices As Options-Based Indices.

2.2. MN-Transferable-Utility.


2.3. The ICAPM/CAPM Are Inaccurate.



2.4. The Traditional Index Calculation Methods ( applicable to many equity, debt, real estate, commodity and currency indices).

2.4.1 Market-Capitalization Weighted Indices (And "Diversity" Indices).


2.4.2. Free Float Adjusted Indices.

2.4.3. Fundamental Indices.

2.4.4. Stock-Price Weighted Indices.

2.4.5. Trading-Volume Weighted Indices.

2.4.6. Market-Cap Weighted and Volume-Weighted Indices (Two Methods).

2.4.7. Dividend-Weighted Indices.

2.4.8. Equal-Weight Indices.

2.4.9. Thomson Reuters's Indices.

2.5. Other Distortions in Traditional Indices.







2.6. Traditional Index Calculation Methods Create Significant Incentives for Companies to Perpetrate Earnings Management.

2.7. Conclusion.

Chapter 3 . A Critique of Credit Default Swaps (CDS) Indices .

3.1. Existing Literature.

3.2. Quasi-Default Versus Reported Default: the Difference Reduces the Usefulness of CDS Indices.

3.3. The Credit-Ratings Lag.

3.4. The Methods for Pricing Of Debt Reduces the Accuracy of CDS Indices.

3.5. Behavioral Effects and Externalities Inherent in the Use CDS, and Which May Distort the Accuracy of CDS-Indices.

3.6. Financial Stability.

3.7. S&P's Credit Default Swap (CDS) Indices - the S&P CDS Index Calculation Methods Are Wrong.

3.8. Conclusion.

Chapter 4. Invariants and Homomorphisms Implicit in, and the Irrelevance of the Mean-Variance Framework in Risk Analysis, Decision-Making and Portfolio Management

4.1. Existing Literature.

4.2. The Mean Variance Framework is Inaccurate


Theorem 3
















Chapter 5 . Decision-Making, Sub-Additive Recursive "Matching" Noise and Biases in Risk-Weighted Stock/Bond Index Calculation Methods in Incomplete Markets with Partially Observable Multi-Attribute Preferences.

5.1. Existing Literature.

5.2. The ICAPM/CAPM is Inaccurate.


5.3. For any investment horizon and any market, all risk-weighting methods distort the risk of constituent companies.


5.4. The Risk-Adjusted Index Calculation Methods are Wrong.

5.4.1. Free-float Adjusted Indices.

5.4.2. Equal risk contribution ("ERC") Indices.

5.4.3. "Most-diversified" ("Diversity") Indices.

5.4.4. "Minimum-Variance" Indices.

5.4.5. FTSE/EDHEC Risk-adjusted Indices.

5.4.6. The Hang Seng Risk-ad

Nwogugu, Michael I. C.

Michael I. C. Nwogugu is an author, entrepreneur, and consultant who has held senior management and Board-of-Director positions in companies in both the U.S. and Nigeria. Mr. Nwogugu has written three books: Risk in the Global Real Estate Market (Wiley); Illegal File-sharing Networks, Digital Goods Pricing and Decision Analysis (CRC Press); and Anomalies In Net Present Value, Returns And Polynomials And Regret Theory In Decision Making (Palgrave MacMillan). Mr. Nwogugu's research articles have been cited in top academic journals such as International Journal of Approximate Reasoning; Applied Mathematics & Computation; Journal of Business Research; European Journal of Operational Research; PNAS; Annual Review of Psychology; Neural Computing & Applications; Mathematical Methods of Operations Research; Computers & Industrial Engineering; and Expert Systems With Applications among others. Mr. Nwogugu earned degrees from the University of Nigeria; CUNY, New York, USA; and Columbia University, New York, USA.


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