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- W2066813128 abstract "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 questioned whether market cap is a reliable proxy for the size and economic influence of a company. The fact that cap-weighted indices have been found to be neither representative nor efficient has led to the development of various alternative weighting schemes. However, how to best replace cap-weighted indices remains an open question. In an article from the Summer 2011 issue of <i>The Journal of Index Investing</i>, Robert Arnott discusses an empirical analysis of several alternative indexing methodologies that he broadly classifies as relying on heuristics or on portfolio optimization. Although an analysis of competing non-capweighted indices should, in principle, provide useful insights, the results reported by Arnott suffer from a flawed methodology and may confuse readers about the issues with different non-cap-weighted indices in practice. <b>TOPICS:</b>Portfolio construction, equity portfolio management, style investing" @default.
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- W2066813128 date "2011-11-30" @default.
- W2066813128 modified "2023-10-14" @default.
- W2066813128 title "<i>A Comment on</i> “Better Beta Explained: <i>Demystifying</i><i>Alternative Equity Index Strategies</i>”" @default.
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- W2066813128 doi "https://doi.org/10.3905/jii.2011.2.3.012" @default.
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