The Performance of Characteristics-Based Indices
The Performance of Characteristics-Based Indices
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基于特征的指数的表现
DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
Véronique Marie
中科院分区：
文献类型：
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作者：
N. Amenc;Felix Goltz;Véronique Marie
本文分析了一组基于特征的指数，它一直认为，优于市值加权指数。我们分析了这些指数的详尽列表的表现，并表明，i）超过价值加权指数的表现可能是负的，在很长一段时间内，和ii）没有显着的优于同等加权指数。对基于特征的指数的风格和行业风险敞口的分析显示出显著的价值倾斜。当这种倾斜得到适当调整时，这些指数的异常收益会大大减少。此外，通过因子或行业倾斜，可以直接构建夏普比率高于基于特征的指数的投资组合。
This paper analyses a set of characteristics-based indices that, it has been argued, outperform market cap-weighted indices. We analyse the performance of an exhaustive list of these indices and show that i) the outperformance over value-weighted indices may be negative over long time periods, and ii) there is no significant outperformance over equal-weighted indices. An analysis of the style and sector exposures of characteristics-based indices reveals a significant value tilt. When this tilt is properly adjusted for, the abnormal returns of these indices decrease considerably. Moreover, it is straightforward to construct portfolios with higher Sharpe ratios than characteristics-based indices through factor or sector tilts.