A Survey of Alternative Equity Index Strategies
Jason C. Hsu
Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business
Research Affiliates, LLC
Research Affiliates LLC
March 3, 2011
Financial Analysts Journal, Vol. 67, No. 5, 2011
A number of quantitative investment strategies are offered to investors as passive equity indexes. We review methodologies behind the more popular ones and provide an integrated evaluation framework. In our comparison the strategies outperform their cap-weighted counterparts largely due to exposure to value and size factors. Given this insight, these strategies are similar to each other and one can be mimicked by combinations of others. Therefore, implementation cost should be an important evaluation criterion.
Number of Pages in PDF File: 31
Keywords: alternative, equity
JEL Classification: G11
Date posted: October 24, 2010 ; Last revised: August 11, 2013
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