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A Survey of Alternative Equity Index StrategiesJason C. HsuResearch Affiliates, LLC; University of California, Los Angeles - Anderson School of Business Tzee-man ChowResearch Affiliates, LLC Vitali KalesnikResearch Affiliates LLC Bryce LittleCornell University March 3, 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 working papers seriesDate posted: October 24, 2010 ; Last revised: March 10, 2011Suggested CitationContact Information
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