PT  - JOURNAL ARTICLE
AU  - Francis J. Enderle
AU  - Brad Pope
AU  - Laurence B. Siegel
TI  - Broad-Capitalization Indexes of the U.S. Equity Market
AID  - 10.3905/joi.2003.319529
DP  - 2003 Feb 28
TA  - The Journal of Investing
PG  - 11--22
VI  - 12
IP  - 1
4099  - https://pm-research.com/content/12/1/11.short
4100  - https://pm-research.com/content/12/1/11.full
AB  - Market indices need to serve triple duty-they are used as portfolios (index funds), as the starting point for actively managed funds, and as benchmarks for performance evaluation. The criteria used to select an index reflect the tension between these roles. One must also understand the tradeoffs involved in index construction, such as between the breadth or completeness of an index and its “investability” (liquidity and availability of the index constituents). The authors present statistical and qualitative characteristics of major broad-capitalization indices of the U.S. equity market. They also review the history of equity market indices and recall the “capitalization wars” that ensued when researchers identified a small-stock effect that, according to some, justifies a much higher than market-cap weight in small-company issues.