PT - JOURNAL ARTICLE AU - Larry J. Prather AU - Ting-Heng Chu AU - M. Imtiaz Mazumder AU - Che-Chun Lin TI - Indexing Institutional Funds AID - 10.3905/jii.2011.2.3.058 DP - 2011 Nov 30 TA - The Journal of Index Investing PG - 58--63 VI - 2 IP - 3 4099 - https://pm-research.com/content/2/3/58.short 4100 - https://pm-research.com/content/2/3/58.full AB - This article investigates alternative S&P 500 indexing strategies for institutional investors using S&P 500 institutional index mutual funds and the Standard and Poor’s Depository Receipts (SPDRs). This investigation is important because although SPDRs have lower advertised annual expenses, investors in SPDRs face bid–ask spreads and commissions. The authors present a model to illustrate how alternative index investments can be compared, compute average spreads using transaction-by-transaction data, compute risk-adjusted returns for the competing investments, and model the results under several scenarios.TOPICS: Passive strategies, volatility measures, portfolio construction