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Indices, Index Funds And ETFs

Exploring HCI, Nonlinear Risk and Homomorphisms

  • Michael I. C. Nwogugu

Table of contents

  1. Front Matter
    Pages i-xxii
  2. Michael I. C. Nwogugu
    Pages 1-40
  3. Michael I. C. Nwogugu
    Pages 111-137

About this book

Introduction

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.  

Keywords

Risk Index-funds ETFs Commodity indices Equity Debt Asset pricing Cumulative Prospect Theory

Authors and affiliations

  • Michael I. C. Nwogugu
    • 1
  1. 1.Nigeria

Bibliographic information

  • DOI https://doi.org/10.1057/978-1-137-44701-2
  • Copyright Information The Editor(s) (if applicable) and The Author(s) 2018
  • Publisher Name Palgrave Macmillan, London
  • eBook Packages Economics and Finance
  • Print ISBN 978-1-137-44700-5
  • Online ISBN 978-1-137-44701-2
  • Buy this book on publisher's site
Industry Sectors
Finance, Business & Banking