A Survey of Alternative Equity Index Strategies

• DOI: 10.2469/faj.v67.n5.5
• Publication Date: 2011-09-27T08:37:03Z
• Authors: Tzee-man Chow; Jason Hsu; Vitali Kalesnik; Bryce Little
• Keywords: Equity; Value (mathematics); Investment; Investment value

After reviewing the methodologies behind more popular quantitative investment strategies offered to investors as passive equity indices, authors devised an integrated evaluation framework. They found that outperform their cap-weighted counterparts largely owing exposure value and size factors. Almost entirely spanned by market, value, factors, any one of these can be mimicked combinations others. Thus, implementation cost is a better criterion than returns.