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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
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