Article2005

Performance of Enhanced Index and Quantitative Equity Funds

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Financial Markets and Investment Strategies Corporate Finance and Governance Financial Analysis and Corporate Governance

Abstract

We examine the performance of enhanced index and quantitative equity funds. Both types of funds use quantitative models in investment selection. Enhanced index funds set an explicit objective to outperform a benchmark index. Proponents of quantitative funds argue that their management style takes human emotions out of the investment decision-making process and leads to more objective stock selection. We find evidence of outperformance by quantitatively managed growth funds, especially those investing in small cap stocks.

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1993Common risk factors in the returns on stocks and bonds 1992The Cross-Section of Expected Stock Returns 1991Loss Aversion in Riskless Choice: A Reference-Dependent Model 1981The relationship between return and market value of common stocks 1986Economic Forces and the Stock Market 1968THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964

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