There has been increasing interest in so-called alternative equity index strategies or
advanced beta strategies, which try to generate outperformance over the standard market …

We employ a methodology to construct multi-beta multi-strategy (MBMS) indices for the
Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and …

Traditional index funds (TIF) allocate investments in such a way that chosen firms have the
same weight as they do in a price-weighted, capitalization-weighted, or similar measure of …

This article investigates the trade-off between an extension of the standard three-factor
model including a new volatility factor compared to a parsimonious Markov switching model …

Cap-weighted indices have been subjected to increasing criticism. Empirical evidence
suggests that cap-weighted indices deliver poor risk-adjusted performance. It has also been …

In a continually evolving investment universe, strategies that “begin at the beginning” with
smart beta—such as GDP-weighted index strategies for bond investments and fundamental …

This thesis is a collection of essays that explore current theory and practice in respect of
benchmarks for alternative asset classes. A benchmark is required in order to measure and …

Recent literature suggests that fundamental attributes are better proxies for index
construction in contrast to market capitalisation-weighted methods. Arnott, Hsu and Moore …

Fixed income investments represent a significant part of diversified portfolios from private to
institutional investors. The current very low interest rate environment means high potential …

The study is set out to discover a new multi factor model for Shariah investing in Malaysian
stocks based on musharakah principle. It also wants to know the model explanatory power …