A Survey of Alternative Equity Index Strategies
回顾了被动股票指数中流行的量化投资策略方法，发现这些策略跑赢市值加权指数主要源于价值和规模因子暴露，且策略间可相互复制，实施成本比回报更适合作为评价标准。
After reviewing the methodologies behind the more popular quantitative investment strategies offered to investors as passive equity indices, the authors devised an integrated evaluation framework. They found that the strategies outperform their cap-weighted counterparts largely owing to exposure to value and size factors. Almost entirely spanned by market, value, and size factors, any one of these strategies can be mimicked by combinations of the others. Thus, implementation cost is a better evaluation criterion than returns.