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ICMA-RC Investment Releases Research Brief on Alternative Beta Methodologies

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WASHINGTON, July 10, 2014 /PRNewswire/ -- Public sector retirement plan provider, ICMA-RC, has released an investment research brief entitled "Alternative Beta: Impact across Market Capitalization and Style: Equal-Weight, Volatility-Dampening and Momentum-Biased Methodologies." The study reviews the characteristics of a wide range of alternatively constructed passive portfolios. Among other findings, the study concludes that positive risk-adjusted excess return is available but not universal across market capitalization and style.

"At ICMA-RC, we are always working toward adding value for our state and local government clients," said ICMA-RC Senior Vice President & Chief Investment Officer Wayne Wicker. "This brief is one of the many ways we continue our effort to expand thought leadership for the public sector."

The study, developed for investment professionals, includes the following conclusions:

  • Alternative weight strategies generally add value compared to market capitalized benchmarks.
  • Advantages in performance are widespread and persistent over longer periods.
  • Weighting technique and equity style of the market capitalized (parent) index dramatically shift portfolio characteristics of alternative beta strategies.
  • Many of the techniques embedded in alternative beta portfolio construction could enhance relative return in active strategies.

Click here to see the full study.


Founded in 1972, ICMA-RC is a non-profit independent financial services corporation focused on providing retirement plans and related services for more than 1.2 million public sector participant accounts and over 9,000 retirement plans. Our mission is to help build retirement security for public employees. We deliver on our mission by focusing on service, quality and value. All of our retirement programs, administrative services and educational tools have been developed specifically for public sector retirement plan administrators and participants. For more information, visit www.icmarc.org. AC:  


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