Abstract

http://ssrn.com/abstract=1696333
 
 

References (19)



 
 

Citations (10)



 


 



A Survey of Alternative Equity Index Strategies


Jason C. Hsu


Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business

Tzee-man Chow


Research Affiliates, LLC

Vitali Kalesnik


Research Affiliates LLC

Bryce Little


Cornell University

March 3, 2011

Financial Analysts Journal, Vol. 67, No. 5, 2011

Abstract:     
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

Accepted Paper Series


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Date posted: October 24, 2010 ; Last revised: August 11, 2013

Suggested Citation

Hsu, Jason C. and Chow, Tzee-man and Kalesnik, Vitali and Little, Bryce, A Survey of Alternative Equity Index Strategies (March 3, 2011). Financial Analysts Journal, Vol. 67, No. 5, 2011. Available at SSRN: http://ssrn.com/abstract=1696333 or http://dx.doi.org/10.2139/ssrn.1696333

Contact Information

Jason C. Hsu (Contact Author)
Research Affiliates, LLC ( email )
620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States
HOME PAGE: http://www.jasonhsu.org
University of California, Los Angeles - Anderson School of Business
110 Westwood Plaza
Los Angeles, CA 90095-1481
United States
Tzee-man Chow
Research Affiliates, LLC ( email )
620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States
949-325-8754 (Phone)
Vitali Kalesnik
Research Affiliates LLC ( email )
620 Newport Center Dr
Ste 900
Newport Beach, CA 92660
United States
949-325-8717 (Phone)
949-325-8917 (Fax)
HOME PAGE: http://researchaffiliates.com/index.htm
Bryce Little
Cornell University ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
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References:  19
Citations:  10

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