Abstract

https://ssrn.com/abstract=1696333
 
 

References (19)



 
 

Citations (9)



 


 



A Survey of Alternative Equity Index Strategies


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

March 3, 2011

Financial Analysts Journal, Vol. 67, No. 5, September/October 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.

Number of Pages in PDF File: 31

Keywords: alternative, equity

JEL Classification: G11


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Date posted: October 24, 2010 ; Last revised: December 28, 2016

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

Contact Information

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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