Outperformance of JUST Investable Equity Indexes
Equity indexes based on the leaders of JUST Capital’s 2016 rankings outperform the Russell 1000 index in both absolute and risk-adjusted terms over three to ten years. The indexes are based on the JUST 100 constituents, as well as on the top 50% ranked companies by industry. The 1 – 4 percentage-point annual outperformance holds over ten years and is robust to three different stock weighting schemes. The indexes have higher Sharpe ratios, similar or better downside risk characteristics, and moderate tracking risk versus the Russell 1000.