Bridge over ocean
1 September 2011 Financial Analysts Journal Volume 67, Issue 5

A Survey of Alternative Equity Index Strategies

  1. Tzee-Man Chow
  2. Jason Hsu
  3. Vitali Kalesnik
  4. Bryce Little

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.

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