Amenc, Noël; Goltz, Felix; Sourd, Véronique Le - In: European Financial Management 15 (2009) 2, pp. 241-278
"This paper analyses a set of characteristics-based indices that, it has been argued, outperform market cap-weighted indices. We analyse the performance of an exhaustive list of these indices and show that i) the outperformance over value-weighted indices may be negative over long time periods,...