[PDF][PDF] Choose your betas: Benchmarking alternative equity index strategies
N Amenc, F Goltz, A Lodh - The Journal of Portfolio Management, 2012 - hillsdaleinv.com
There has been increasing interest in so-called alternative equity index strategies or
advanced beta strategies, which try to generate outperformance over the standard market …
advanced beta strategies, which try to generate outperformance over the standard market …
[PDF][PDF] Towards smart equity factor indices: Harvesting risk premia without taking unrewarded risks
N Amenc, F Goltz, A Lodh, L Martellini - The Journal of Portfolio …, 2014 - academia.edu
A recent survey (the EDHEC European ETF Survey 2013 by Ducoulombier et al.[2014])
reveals that although only 30% of investment professionals already use products tracking …
reveals that although only 30% of investment professionals already use products tracking …
Factor investing in Brazil: Diversifying across factor tilts and allocation strategies
AA Rodrigues, F Casalin - Emerging Markets Review, 2022 - Elsevier
We employ a methodology to construct multi-beta multi-strategy (MBMS) indices for the
Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and …
Brazilian equity market that can diversify the exposure to multiple rewarded risk factors and …
Exploring new frontiers in indexing strategies: an optimization-based risk-efficient solution
R Monga, D Aggrawal, J Singh - International Journal of System …, 2022 - Springer
This paper examines various risk-efficient solutions that enable investors to optimize their
risk-return profile in comparison to the traditional market-capitalization index. Investment …
risk-return profile in comparison to the traditional market-capitalization index. Investment …
[PDF][PDF] Scientific beta multi-strategy factor indices: Combining factor tilts and improved diversification
ERI An - 2014 - conferences.pionline.com
This paper argues that current smart beta investment approaches only provide a partial
answer to the main shortcomings of cap-weighted indices, and introduces Scientific Beta …
answer to the main shortcomings of cap-weighted indices, and introduces Scientific Beta …