The authors examined five alternative equity indices (AEIs) in the United States
using industries instead of individual stocks as building blocks to form
portfolios and compared their performance with that of the
capitalization-weighted equity benchmark for the period 1964–2011. The
five AEIs had, ex post, lower risk and better returns than the
cap-weighted benchmark. Net risk-adjusted returns of three AEIs were
significantly positive when controlling for four risk factors.