
doi: 10.2469/faj.v69.n2.3
The authors examined five alternative equity indices (AEIs) in the United States using industries instead of individual stocks as building blocks to form portfolios and compared their performance with that of the capitalization-weighted equity benchmark for the period 1964–2011. The five AEIs had, ex post, lower risk and better returns than the cap-weighted benchmark. Net risk-adjusted returns of three AEIs were significantly positive when controlling for four risk factors.
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