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Abstract
Investment strategies divide into one of two groups: value/fundamental or growth/momentum. The first group searches for securities with attributes that the investor believes will lead to outperformance. The second seeks recent outperformance that the investor expects will continue. The article questions whether a market-capitalization-weighted index is the most appropriate benchmark for both momentum and value strategies.
TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia, in portfolio management
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