Was 2016 the Year of the Monkey?

18 Pages Posted: 22 Feb 2017

See all articles by Andrew Clare

Andrew Clare

City University London - Sir John Cass Business School

Nick Motson

City University London - Sir John Cass Business School

Steve Thomas

City University London - Sir John Cass Business School

Date Written: February 20, 2017

Abstract

According to the Chinese calendar 2016 was the year of the Monkey. In this paper, using a common set of 500 US stocks, we analyse the performance of 1 billion randomly generated stock indices (as if chosen by a monkey) to both a market capitalization-weighted index and several popular smart beta indices. We find that 2016 was indeed a good year for monkeys. In the interests of animal welfare we have since released our monkeys back in to the wild for a well-earned rest and some energy replenishing bananas. It is now the Chinese year of the Rooster. Perhaps the big question is: who will be crowing by the end 2017, monkeys or market cap proponents?

Keywords: Market capitalisation-weighted indices, Alternative equity indices, Smart Beta

JEL Classification: G10, G11, G14, G23

Suggested Citation

Clare, Andrew D. and Motson, Nicholas E. and Thomas, Stephen H., Was 2016 the Year of the Monkey? (February 20, 2017). Available at SSRN: https://ssrn.com/abstract=2920509 or http://dx.doi.org/10.2139/ssrn.2920509

Andrew D. Clare (Contact Author)

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Nicholas E. Motson

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0) 20 7040 4074 (Phone)
+44 (0) 20 7040 8881 (Fax)

Stephen H. Thomas

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
+44 (0) 20 7040 5271 (Phone)
+44 (0) 20 7040 8881 (Fax)

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