Center for Investment
Benchmark Research
Understanding investment indexes for benchmark improvement
InvestmentBenchmark.com is the home of the Center for Investment Benchmark Research. It is sponsored by the Institute for Systematic Investing Research (ISIR). It is dedicated to research and education with its goal to improve investors' understanding of market measurements and investment standards.
An index is a statistical indicator often serving as the barometer for a given market, industry, economy, and the benchmark against which financial or economic performance is measured.
Our purpose is to provide investors and decision makers a free online forum for enhancing our knowledge on investment related indexes. You can access one of the sections below for the simple descriptions and original source links on important index measurements related to portfolio benchmarks, economic cycles, capital markets, and investor behaviors.
An index is a statistical indicator often serving as the barometer for a given market, industry, economy, and the benchmark against which financial or economic performance is measured.
Our purpose is to provide investors and decision makers a free online forum for enhancing our knowledge on investment related indexes. You can access one of the sections below for the simple descriptions and original source links on important index measurements related to portfolio benchmarks, economic cycles, capital markets, and investor behaviors.
Benchmark Index
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Economic Index
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Market Index
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Behavior Index
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Important Remarks:
The Benchmark Index section includes the Theme-Based Benchmarks developed by ISIR. These new benchmarks are designed with retail investors in mind, not those multi-factor indexes for financial institutions as promoted by ERI Scientific Beta. Our goal is to empower investors to effectively evaluate institutional managed portfolios. The Theme-Based Benchmarks are fully backed up by real ETF portfolios, instead of simulated indexes many of which often demonstrated poor performance and/or weak robustness soon after becoming real world products.
The recent extensive research conducted by ERI Scientific Beta shows that the financial industry is evolving to introduce multi-factor indexes in contrast to the traditional single factor indexes such as S&P 500 index. However, the characteristics of the current offering in the industry is lack of consistency in its methodologies offered to define factors, along with the mismatch between the academic research that justifies factor investing and the definition of these same factors by index providers. These problems are a source of lack of robustness for the offerings and this can be seen additionally in the poor live performance of the indexes proposed, whose design is ultimately guided more by a concern to display simulated performance than by practical robustness.
Reference: Methodological Differences across Multi-Factor Index Offerings by ERI Scientific Beta, 2016
The Benchmark Index section includes the Theme-Based Benchmarks developed by ISIR. These new benchmarks are designed with retail investors in mind, not those multi-factor indexes for financial institutions as promoted by ERI Scientific Beta. Our goal is to empower investors to effectively evaluate institutional managed portfolios. The Theme-Based Benchmarks are fully backed up by real ETF portfolios, instead of simulated indexes many of which often demonstrated poor performance and/or weak robustness soon after becoming real world products.
The recent extensive research conducted by ERI Scientific Beta shows that the financial industry is evolving to introduce multi-factor indexes in contrast to the traditional single factor indexes such as S&P 500 index. However, the characteristics of the current offering in the industry is lack of consistency in its methodologies offered to define factors, along with the mismatch between the academic research that justifies factor investing and the definition of these same factors by index providers. These problems are a source of lack of robustness for the offerings and this can be seen additionally in the poor live performance of the indexes proposed, whose design is ultimately guided more by a concern to display simulated performance than by practical robustness.
Reference: Methodological Differences across Multi-Factor Index Offerings by ERI Scientific Beta, 2016