Academic Research on Active Index Fund

• The governance impact of index funds: Evidence from regression discontinuity, Mullins, W. (2014). The governance impact of index funds: Evidence from regression discontinuity. Work. Pap., Sloan Sch. Manag., Mass. Inst. Technol. 
• SEEKING ALPHA--PERFORMANCE OF LATVIAN SECOND LEVEL PENSION FUNDS., Lieksnis, R. (2009). SEEKING ALPHA--PERFORMANCE OF LATVIAN SECOND LEVEL PENSION FUNDS. Economics & Business, 18. This study investigates whether Latvian second level pension funds can outperform equity and fixed income market indexes on a consistent basis. Findings confirm the conclusion of similar studies worldwide that it is very difficult to achieve outperformance hence none of the analyzed pension funds manage to achieve positive Alpha. The quarterly returns of 12 pension funds are analyzed for the time period from 2003 till 2009. The study proposes to use a representative bond market index as the benchmark of pension fund performance on a relative basis. 
• Beating a Benchmark by Actively Managing its Components: The Case of the Dow Jones, Basu, D. (2005). Beating a Benchmark by Actively Managing its Components: The Case of the Dow Jones. 
• Essays in financial economics, Mullins, W. (2014). Essays in financial economics (Doctoral dissertation, Massachusetts Institute of Technology). This thesis examines three questions in Corporate Finance. The first chapter investigates the effect of institutional ownership on the governance dynamics and behavior of firms. I exploit the exogenous change in equity index membership generated by the reconstitution of the Russell indices. Following reconstitution, I show that firms just included in the Russell 1000 index have higher institutional ownership (IO) concentration than those just excluded - both a change in indexers and a change in active 10, suggesting a complementarity between these types of investors. Firms just included in the Russell 1000 increase the performance sensitivity of their CEO's pay, have a higher likelihood of CEO turnover, and have lower capital expenditures. Overall, these results suggest a significant impact of institutional preferences on corporate behavior. Chapter 2, joint with Antoinette Schoar, shows that CEOs' management styles and philosophy vary with the control rights of the founder and/or owning family, using a survey of over 800 CEOs in 22 emerging economies. CEOs of firms with greater family involvement have more hierarchical management, feel more accountable to stakeholders than they do to shareholders and see their role as maintaining the status quo rather than bringing change. In contrast, professional CEOs of non-family firms display a more textbook approach of shareholder-value-maximization. Between these types we find a continuum of leadership styles and philosophies that vary with how intensively family members are involved in management. Chapter 3 examines whether and how companies benefit from campaign contributions. To obtain exogenous variation in such political connections, I use U.S. congressional elections that were decided by less than 1% of votes in a RDD. Such close elections are akin to randomized assignment: Prior to the election, companies' political connections have similar expected values. My estimates suggest that companies connected to the winning candidate experience both a significant increase in long-term firm value and a positive short-term stock market reaction around the election date. I further document evidence supporting four channels through which political connections may enhance firm value: 1) allocation of procurement contracts, 2) reduced legislative and regulatory risks, 3) improved bank financing, and 4) improved access to lobbying. 
• Asset allocation in the South African environment, Mahoney, K. (2014). Asset allocation in the South African environment (Doctoral dissertation, University of Cape Town). The aim of this paper is to find solutions to the asset allocation problem in the South African environment. These solutions look at a variety of different investor's preferences. These include an investor's age, risk aversion and required levels of returns. To do this, an analysis was done of prior research, so the most up to date mean-variance asset allocation model could be developed. Returns from 10 different indices, over different asset classes were gathered. The indices of importance were found to be: All Bond Index (ALBI), Inflation Linked All Maturities Index (ILB), Salient's Momentum Active Index Fund (MOME), Salient's Value Active Index Fund (VAL), South African Short Term Fixed Interest Index (STEFI) and South African Property Index (SAPY).