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Better Beta Explained: Demystifying Alternative Equity
Index Strategies

Robert D. Arnott
The Journal of Beta Investment Strategies Summer 2011, 2 (1) 51-58; DOI: https://doi.org/10.3905/jii.2011.2.1.051
Robert D. Arnott
is the chair and CEO of Research Affiliates, LLC, in Newport Beach, CA.
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Abstract

A number of quantitative “passive” investment strategies (informally designated alternative betas) are being offered as alternatives to standard market-capitalization-weighted indices. This research compares the methodologies and investment beliefs behind several of the more popular alternative betas and provides an integrated framework for understanding the linkage between them. The alternative betas do outperform their cap-weighted counterparts, but the outperformances are driven largely by exposure to value and size factors.

TOPICS: Factor-based models, passive strategies, portfolio construction

  • © 2011 Pageant Media Ltd
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The Journal of Index Investing: 2 (1)
The Journal of Beta Investment Strategies
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Summer 2011
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Better Beta Explained: Demystifying Alternative Equity
Index Strategies
Robert D. Arnott
The Journal of Beta Investment Strategies May 2011, 2 (1) 51-58; DOI: 10.3905/jii.2011.2.1.051

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Better Beta Explained: Demystifying Alternative Equity
Index Strategies
Robert D. Arnott
The Journal of Beta Investment Strategies May 2011, 2 (1) 51-58; DOI: 10.3905/jii.2011.2.1.051
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