RT Journal Article
SR Electronic
T1 Commentary: Aligning Strategies with Benchmarks
JF The Journal of Index Investing
FD Institutional Investor Journals
SP 8
OP 9
DO 10.3905/jii.2016.7.1.008
VO 7
IS 1
A1 David M. Blitzer
YR 2016
UL https://pm-research.com/content/7/1/8.abstract
AB Investment strategies divide into one of two groups: value/fundamental or growth/momentum. The first group searches for securities with attributes that the investor believes will lead to outperformance. The second seeks recent outperformance that the investor expects will continue. The article questions whether a market-capitalization-weighted index is the most appropriate benchmark for both momentum and value strategies.TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia, in portfolio management