The Dow Jones Distortion Index
How distorted is the Dow Jones Industrial Average?
This post examines the Dow Jones Industrial Average ("DJIA") along one of its key criticisms: price-weighting. It quantifies the extent to which price-weighting distorts the DJIA by creating a distortion index that measures aggregate over/under influence across all index components relative to a capitalization-weighted index composed of the same stocks....
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