Alternative Beta Strategies

52 Pages Posted: 4 Feb 2016

See all articles by Frank Benham

Frank Benham

Meketa Investment Group

Roberto Obregon

Meketa Investment Group

Edmund Walsh

Economic Data Sciences

Timur Yontar

Meketa Investment Group

Date Written: February 1, 2016

Abstract

Market capitalization weighted indices have historically been the most widely used strategies to achieve a passive exposure to equities markets, or capture equities beta. However, we have seen a surge of strategies called alternative betas (or sometimes “smart betas”) that, using different index construction methodologies, aim to provide a passive exposure to alternative sources of equity returns, or equity factors. This paper begins by reviewing the existing index construction methodologies used to achieve equity market beta exposure, and then turns to analyzing alternative beta strategies that aim to provide exposure to Value, Momentum, Low Volatility, and Quality as alternative sources of equity risk premia in a passive, index-like way.

Keywords: alternative beta, fundamental beta, alternative index, smart beta

JEL Classification: G11, G23

Suggested Citation

Benham, Frank and Obregon, Roberto and Walsh, Edmund and Yontar, Timur, Alternative Beta Strategies (February 1, 2016). Available at SSRN: https://ssrn.com/abstract=2726885 or http://dx.doi.org/10.2139/ssrn.2726885

Frank Benham (Contact Author)

Meketa Investment Group ( email )

100 Lowder Brook Drive, Suite 1100
Westwood, MA 02090
United States

HOME PAGE: http://www.meketagroup.com/

Roberto Obregon

Meketa Investment Group ( email )

United States

Edmund Walsh

Economic Data Sciences ( email )

1 Brunel Way
The Porter Building, Level 2
Slough, SL1 1FQ
United Kingdom
01753 396 581 (Phone)

Timur Yontar

Meketa Investment Group ( email )

United States

HOME PAGE: http://www.meketagroup.com

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