A Survey of Alternative Equity Index Strategies
Research Affiliates, LLC
Jason C. Hsu
Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business
Research Affiliates LLC
September 28, 2011
Financial Analysts Journal, Vol. 67, No. 5, 2011
After reviewing the methodologies behind the more popular quantitative investment strategies offered to investors as passive equity indices, the authors devised an integrated evaluation framework. They found that the strategies outperform their cap-weighted counterparts largely owing to exposure to value and size factors. Almost entirely spanned by market, value, and size factors, any one of these strategies can be mimicked by combinations of the others. Thus, implementation cost is a better evaluation criterion than returns.
Keywords: Portfolio Management, Equity Portfolio Management Strategies, Passive Management, Portfolio Construction and Revision, Implementation Issues, Equity Investments, Equity Markets, Characteristics, Institutions, and Benchmarks, Security Market Indices and BenchmarksAccepted Paper Series
Date posted: September 30, 2011
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