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

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  • $\begingroup$ Have you asked at the FTSE Russell company ? They would have an interest in knowing this. $\endgroup$ – noob2 Jun 20 '17 at 17:23
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Some additional thoughts (that may be more work than you want to do):

  1. 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.
  2. Download all prospectus and do textual analysis for phrases that indicate following the FTSE 100 index.
  3. 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?
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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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  • $\begingroup$ OK. But there is a difference between a fund that tracks the FTSE 100 (attempts to match it as close as possible) and a fund that uses the FT 100 as a benchmark (compares itself to it and attempts to do better (but in practice often does worse) without attempting to match the portfolio composition). So your second method will produce a far bigger figure than the first. $\endgroup$ – noob2 Jun 20 '17 at 21:47

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