Alternative Beta: Catergorisation of Indices - Do All Roads Lead to Rome?

Abstract:     
The article focuses on the categorisation of indexing methods in equity space. Based on the theoretical concepts of the various index methods, we first conduct a qualitative categorisation. In a second step, we try to validate it with a formal statistical analysis. We conclude that many indexing methods such as fundamental, risk parity and equal-weighted indexing can be classified into five distinct groups, which can have a material impact on an investor's allocation process.

Keywords: Alternative beta, beta sources, alternative indexing, beta

JEL Classification: C1, G1, G11

Accepted Paper Series