A Survey of Alternative Equity Index Strategies
31 Pages Posted: 24 Oct 2010 Last revised: 28 Dec 2016
Date Written: March 3, 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: alternative, equity
JEL Classification: G11
Suggested Citation: Suggested Citation