Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JII
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • Home
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
  • YouTube

User menu

  • Sample our Content
  • Subscribe Now
  • Log in

Search

  • Advanced search
The Journal of Index Investing
  • IPR Logo
  • Home
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Subscribe Now
  • Log in
The Journal of Index Investing

The Journal of Index Investing

Advanced Search

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JII
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
  • YouTube
Article

Multifactor Index Construction: A Skeptical Appraisal of Bottom-Up Approaches

Noël Amenc, Felix Goltz and Sivagaminathan Sivasubramanian
The Journal of Index Investing Summer 2018, 9 (1) 6-17; DOI: https://doi.org/10.3905/jii.2018.9.1.006
Noël Amenc
is a professor of finance at EDHEC-Risk Institute and chief executive officer at ERI Scientific Betain Singapore. noel.amenc@scientificbeta.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Felix Goltz
is head of applied research at EDHEC-Risk Institute and a research director at ERI Scientific Betain Nice, France. felix.goltz@scientificbeta.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
Sivagaminathan Sivasubramanian
is a senior quantitative research analyst at ERI Scientific Beta in Nice, France. sivagaminathan.sivasubramanian@scientificbeta.com
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • Article
  • Info & Metrics
  • PDF
Loading

Login below to view the full article

Don’t have access?

IPR Journals is the leading provider of applicable theoretical research for all those in the investment management community. Benefit from access to our content including:

  • Unrestricted access to all 11 Journals ​
  • Enhanced Search and Browse Functionality
  • Topic Searches and handpicked curated Collections 
  • A full archive of content going back to 1974

SAMPLE OUR CONTENT >>

INQUIRE ABOUT A SUBSCRIPTION >>

Log in using your username and password

Forgot your user name or password?
PreviousNext
Back to top

Explore all content across our journals

  • Topics
  • Journals
  • Authors
  • Highlights
  • Collections

In this issue

The Journal of Index Investing: 9 (1)
The Journal of Index Investing
Vol. 9, Issue 1
Summer 2018
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Index Investing.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Multifactor Index Construction: A Skeptical Appraisal of Bottom-Up Approaches
(Your Name) has sent you a message from The Journal of Index Investing
(Your Name) thought you would like to see the The Journal of Index Investing web site.
Citation Tools
Multifactor Index Construction: A Skeptical Appraisal of Bottom-Up Approaches
Noël Amenc, Felix Goltz, Sivagaminathan Sivasubramanian
The Journal of Index Investing May 2018, 9 (1) 6-17; DOI: 10.3905/jii.2018.9.1.006

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Multifactor Index Construction: A Skeptical Appraisal of Bottom-Up Approaches
Noël Amenc, Felix Goltz, Sivagaminathan Sivasubramanian
The Journal of Index Investing May 2018, 9 (1) 6-17; DOI: 10.3905/jii.2018.9.1.006
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • DOES IT MAKE SENSE TO ACCOUNT FOR FINE-GRAIN DIFFERENCES IN FACTOR EXPOSURES?
    • COULD THE BACKTEST PERFORMANCE OF BOTTOM-UP APPROACHES BE OVERSTATED?
    • WHAT IS THE COST OF PURSUING FACTOR CHAMPIONS RATHER THAN DIVERSIFICATION?
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

Cited By...

  • No citing articles found.
  • Google Scholar

More in this TOC Section

  • ESG: Alpha or Duty?
  • Entrepreneurs Breed ESG-Rich Companies: Reap Exceptional Returns as Harvest Byproduct
  • Editor’s Letter
Show more Article

Similar Articles

LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
iprjournals@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
  • Visit IIJ on Facebook
  • YouTube

MORE FROM IPR

  • Home
  • Awards
  • Investment Guides
  • Videos
  • About IPR Journals

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2018 Pageant Media Ltd | All Rights Reserved | ISSN: 2154-7238 | E-ISSN: 2374-135X

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies