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

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

Vitali Kalesnik

Research Affiliates Global Advisors

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 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 )

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Jason C. Hsu

Research Affiliates ( email )

620 Newport Center Dr
Suite 900
Newport Beach, CA 92660
United States

HOME PAGE: http://www.jasonhsu.org

Rayliant Global Advisors ( email )

Hong Kong

University of California, Los Angeles - Anderson School of Business

110 Westwood Plaza
Los Angeles, CA 90095-1481
United States

Vitali Kalesnik

Research Affiliates Global Advisors ( email )

16 Berkeley Street
London, W1J 8DZ
United Kingdom
+44 2039299880 (Phone)

HOME PAGE: http://https://www.researchaffiliates.com/en_us/home.html

Bryce Little

Citadel LLC ( email )

New York, NY
United States

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