The Performance of Characteristics‐based Indices1
分析了一组基于特征的指数，发现其长期表现可能不如市值加权指数，且与等权指数相比无显著优势；调整价值倾向后，异常收益大幅下降。
Abstract 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.