Is a style index benchmark unambiguous?
I would think that the types of investments and weights would be clearly defined so yes.
They are not unambiguous, which is to say they ARE ambiguous.
This is because your definition of style, and someone else’s definition of style may be different. This is exemplified by how securities are included in the index and what rules are used to exclude securities. For example some indexes may exclude a security as soon as it displays different style characteristics, but others may have varying shades of grey between inclusion and exclusion from the B/m. Two different B/m’s of the same style may have radically different returns due to the fact that one may have experienced more drift than the other. Indexes do not always have clear cut rules, and may not disclose what those rules are if they even have them.