Common Factor Exposures of Specialized Stock Indexes
October 11, 2012 - Momentum Investing, Size Effect, Strategic Allocation, Value Premium, Volatility Effects
How do specialized stock indexes relate to commonly used equity risk factors? In his February 2012 paper entitled “Evaluating Alternative Beta Strategies”, Xiaowei Kang examines risk exposures (betas), construction methodologies and historical performances of alternative stock indexes such as those based on value, low-volatility and diversification strategies. He considers five risk factors: (1) market, representing excess return… Keep Reading