A Survey of Alternative Equity Index Strategies

31 Pages Posted: 24 Oct 2010 Last revised: 28 Dec 2016

Jason C. Hsu

Rayliant Global Advisors; 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

Multiple version iconThere are 2 versions of this paper

Date Written: March 3, 2011

Abstract

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

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, September/October 2011. Available at SSRN: https://ssrn.com/abstract=1696333 or http://dx.doi.org/10.2139/ssrn.1696333

Jason C. Hsu (Contact Author)

Rayliant Global Advisors ( email )

Hong Kong

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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