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

Noël Amenc; Felix Goltz; Sivagaminathan Sivasubramanian

doi:10.3905/jii.2018.9.1.006

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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

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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

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Sivagaminathan Sivasubramanian

is a senior quantitative research analyst at ERI Scientific Beta in Nice, France. sivagaminathan.sivasubramanian@scientificbeta.com

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The Journal of Index Investing

Vol. 9, Issue 1

Summer 2018

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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