An additional method to show that the FI results depend on factor tilts is to replicate the FI returns with a portfolio of indices that contain the similar factor loadings. We have experimented with several such portfolios. While only one of these is presented, we find that there are a variety of ways to produce similar (or even larger) returns than FI. We agree with Arnott et. al., that FI is not simply a value portfolio. It has characteristics of both greater value and smaller size than a capitalization weighted portfolio. If we are correct.
