Similar Search Results

Accounting for cross-factor interactions in multifactor portfolios without sacrificingdiversification and risk control

Amenc, Noël; Ducoulombier, Frédéric; Esakia, Mikheil; … - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 99-114

Persistent link: https://www.econbiz.de/10011686335

Mind the gap : on the importance of understanding and controlling market risk in smart beta strategies

Amenc, Noël; Goltz, Felix; Lodh, Ashish - In: The journal of portfolio management : a publication of … 44 (2018) 4, pp. 60-70

Persistent link: https://www.econbiz.de/10011878313

Diversifying the diversifiers and tracking the tracking error : outperforming cap-weighted indices with limited risk of underperformance

Amenc, Noël; Goltz, Felix; Lodh, Ashish; Martellini, Lionel - In: The journal of portfolio management : a publication of … 38 (2012) 3, pp. 72-88

Persistent link: https://www.econbiz.de/10009669654

Choose your betas : benchmarking alternative equity index strategies

Amenc, Noël; Goltz, Felix; Lodh, Ashish - In: The journal of portfolio management : a publication of … 39 (2012) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10009670638

DIVERSIFYING THE DIVERSIFIERS AND TRACKING THE TRACKING ERROR: Outperforming Cap-Weighted Indices with Limited Risk of Underperformance

Amenc, Noël; Goltz, Felix; Lodh, Ashish; Martellini, Lionel - In: The journal of portfolio management : a publication of … 38 (2012) 3, pp. 72-89

Persistent link: https://www.econbiz.de/10009971724

CHOOSE YOUR BETAS: Benchmarking Alternative Equity Index Strategies

Amenc, Noël; Goltz, Felix; Lodh, Ashish - In: The journal of portfolio management : a publication of … 39 (2012) 1, pp. 88-112

Persistent link: https://www.econbiz.de/10010042938

Towards smart equity factor indices : harvesting risk premia without taking unrewarded risks

Amenc, Noël; Goltz, Felix; Lodh, Ashish; Martellini, Lionel - In: The journal of portfolio management : a publication of … 40 (2014) 4, pp. 106-122

Persistent link: https://www.econbiz.de/10010487078

The Performance of Characteristics-based Indices-super-1

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,...

Persistent link: https://www.econbiz.de/10005309598

The performance of characteristics-based indices

Amenc, Noël; Goltz, Felix; Le Sourd, Véronique - In: European financial management : the journal of the … 15 (2009) 2, pp. 241-278

Persistent link: https://www.econbiz.de/10003824390

The way ahead for exchange-traded funds : results from a European survey

Amenc, Noël; Goltz, Felix - In: The journal of alternative investments 12 (2009/10) 1, pp. 50-54

Persistent link: https://www.econbiz.de/10003881639