Estimating Assets Tracking the FTSE 100

Summary

The discussion proposes ways to estimate how much capital tracks an index such as the FTSE 100. One method is to identify funds whose returns closely follow the index, using regression and an R-squared threshold; a Bayesian version could assign probabilities that funds are index trackers. Another approach is to examine prospectuses for language indicating index tracking.

For a practical lower bound, the replies suggest aggregating assets under management at large passive managers or screening mutual funds and ETFs by stated benchmark, then summing their assets. Fund databases may help identify relevant products. Index licensing fees paid by funds are also mentioned as a possible data source, though the exchange does not establish that providers publish such figures. These are proposed estimation strategies, not reported estimates; classifications, incomplete fund coverage, benchmark differences, and disclosure access could affect the result.

Key ideas

• Regress fund returns against index returns and use fit quality to identify likely trackers.
• Prospectus text can help find funds that explicitly state an index-tracking mandate.
• Aggregating assets of identified funds offers a direct estimate, subject to coverage limits.
• Index licensing records could provide another source if providers make the information available.

Tags

# How much money tracks the FTSE?


# How much money tracks the FTSE?












What methodologies are there for determining how much money tracks an index such as the FTSE100? Are there public estimates?

## Answer by Matthew Gunn (score 3, accepted)

https://quant.stackexchange.com/a/34791

Some additional thoughts (that may be more work than you want to do):

- Regress fund returns on FTSE 100 index returns and look for $R^2$ above some cutoff. Same thing but take a Bayesian approach, assign probabilities of indexing.

- Download all prospectus and do textual analysis for phrases that indicate following the FTSE 100 index.

- You might be able to get a reasonable lower bound by manually checking assets under management (AUM) for some of the biggest passive fund companies: eg. Blackrock, Vanguard, etc... (I don't know what the big UK specific index players may be. HSBC?) Searching FTSE 100 on Morningstar may be a reasonable source of data?

## Answer by 0xFEE1DEAD (score 3)

https://quant.stackexchange.com/a/34788

Every mutual fund/ETF is expected to pay a licensing fee to the index provider for the benchmark it tracks. I don't know whether index providers make that data available.

Alternatively, you could screen mutual funds/ETFs by benchmark and aggregate the market capitalization of the results.

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