Journal
FINANCIAL REVIEW
Volume 40, Issue 4, Pages 459-479Publisher
WILEY
DOI: 10.1111/j.1540-6288.2005.00119.x
Keywords
quantitative funds; enhanced index funds; mutual fund; performance evaluation
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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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