Abstract
A number of quantitative investment strategies are offered to investors as passive equity indexes. We review methodologies behind the more popular ones and provide an integrated evaluation framework. In our comparison the strategies outperform their cap-weighted counterparts largely due to exposure to value and size factors. Given this insight, these strategies are similar to each other and one can be mimicked by combinations of others. Therefore, implementation cost should be an important evaluation criterion.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.