Indexing: theory and history

Theory

 * Bogle, John C. Whether Markets are More Efficient or Less Efficient, Costs Matter From the Nov-Dec 2003 issue of CFA Magazine


 * Fama, Eugene F., "Market Efficiency, Long-Term Returns, and Behavioral Finance "(February 1997). Available at SSRN: http://ssrn.com/abstract=15108 or DOI: 10.2139/ssrn.10.2139/ssrn.15108


 * Lo, Andrew W., "Efficient Markets Hypothesis". THE NEW PALGRAVE: A DICTIONARY OF ECONOMICS, L. Blume, S. Durlauf, eds., 2nd Edition, Palgrave Macmillan Ltd., 2007. Available at SSRN: http://ssrn.com/abstract=991509

History

 * May 26, 1896: Charles Dow and the Dow Jones Average (Mr. Dow's Barometer).


 * Alfred Cowles Can Stock Market Forecasters Forecast? Econometrica Volume 1, Issue 3, (July, 1933) pp. 309-324. Cowles Commission Indexes the forerunners of the S&P 500 Index.


 * 1957: S&P 500 Index created


 * December 31, 1969: MSCI EAFE Index created


 * 1974: Wilshire 5000 Index created


 * 1973-1974: The first institutional indexes based on the S&P 500 index were launched.


 * 08/31/1976: Vanguard 500 Index Fund was launched.


 * 1984: Russell Indexes created.


 * 01/01/1986: Lehman Brothers US Aggregate Bond Index was created.


 * 12/11/1986: Vanguard Total Bond Market Index Fund was launched.


 * 08/17/1989 Vanguard Small-Cap Index Fund was created by converting Naess & Thomas Special Fund into an index fund based on the Russell 2000 Index.


 * 03/1990: The world's first ETF (Exchange Traded Fund) was launched on the Toronto Stock Exchange (TSX); known as TIPS (Toronto 35 Index Participation Units). How ETFs are Created, Exchange Traded Funds (ETFs)


 * 06/18/1990: Vanguard European Stock Index Fund and Vanguard Pacific Stock Index Fund were launched.


 * 04/27/1992: Vanguard Total Stock Market Index Fund was launched.


 * 01/1993: Standard & Poor's Depository Receipts (SPDRS ETF) launched.


 * 1996: WEBS international ETFs launched (later to evolve into iShares)