A Survey of Alternative Equity Index Strategies

Posted: 30 Sep 2011

See all articles by Tzee-man Chow

Tzee-man Chow

Research Affiliates, LLC

Jason C. Hsu

Rayliant Global Advisors; Research Affiliates, LLC; University of California, Los Angeles - Anderson School of Business

Vitali Kalesnik

Research Affiliates LLC

Bryce Little

Citadel LLC

Multiple version iconThere are 2 versions of this paper

Date Written: September 28, 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: 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 Benchmarks

Suggested Citation

Chow, Tzee-man and Hsu, Jason C. and Kalesnik, Vitali and Little, Bryce, A Survey of Alternative Equity Index Strategies (September 28, 2011). Financial Analysts Journal, Vol. 67, No. 5, 2011. Available at SSRN: https://ssrn.com/abstract=1935001

Tzee-man Chow (Contact Author)

Research Affiliates, LLC ( email )

620 Newport Center Dr
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Jason C. Hsu

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

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Los Angeles, CA 90095-1481
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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

Citadel LLC ( email )

New York, NY
United States

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