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OutDex™ to Outperform an Index: Incorporating the Best of Active and Passive Investment Strategies

Edward N.W. Aw, Christopher R. Dornick, John Q. Jiang and Gregory Y. Sivin
The Journal of Beta Investment Strategies Fall 2015, 6 (2) 46-55; DOI: https://doi.org/10.3905/jii.2015.6.2.046
Edward N.W. Aw
is head of quantitative strategies at Bessemer Investment Management LLC in New York, NY.
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  • For correspondence: aw@bessemer.com
Christopher R. Dornick
is a quantitative analyst at Bessemer Investment Management LLC in New York, NY.
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  • For correspondence: dornick@bessemer.com
John Q. Jiang
is a senior quantitative analyst at Bessemer Investment Management LLC in New York, NY.
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  • For correspondence: jiang@bessemer.com
Gregory Y. Sivin
is a senior quantitative analyst at Bessemer Investment Management LLC in New York, NY.
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  • For correspondence: sivin@bessemer.com
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Abstract

The active versus passive investing debate has been ongoing since the mid-1970s with the introduction of index funds. The performance delivered by active managers does little to settle this debate. We propose an OutDex™ strategy that is designed to closely track market capitalization weighted indexes, while providing investors with factor based excess returns. The strategy incorporates the best of active and passive investment. Furthermore, the OutDex™ strategy employs a quantitative approach to active investing which is scalable and a less expensive form of active investment management.

TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia, performance measurement

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The Journal of Index Investing: 6 (2)
The Journal of Beta Investment Strategies
Vol. 6, Issue 2
Fall 2015
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OutDex™ to Outperform an Index: Incorporating the Best of Active and Passive Investment Strategies
Edward N.W. Aw, Christopher R. Dornick, John Q. Jiang, Gregory Y. Sivin
The Journal of Beta Investment Strategies Aug 2015, 6 (2) 46-55; DOI: 10.3905/jii.2015.6.2.046

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OutDex™ to Outperform an Index: Incorporating the Best of Active and Passive Investment Strategies
Edward N.W. Aw, Christopher R. Dornick, John Q. Jiang, Gregory Y. Sivin
The Journal of Beta Investment Strategies Aug 2015, 6 (2) 46-55; DOI: 10.3905/jii.2015.6.2.046
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