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The Journal of Index Investing

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Who Cares about Purity of Factor Indexes? A Comment on “Evaluating the Efficiency of ‘Smart Beta’ Indexes”

Noël Amenc and Felix Goltz
The Journal of Beta Investment Strategies Summer 2016, 7 (1) 10-13; DOI: https://doi.org/10.3905/jii.2016.7.1.010
Noël Amenc
is a professor of finance at EDHEC-Risk Institute and CEO of ERI Scientific Beta in Singapore.
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  • For correspondence: noel.amenc@edhec-risk.com
Felix Goltz
is the head of applied research at EDHEC-Risk Institute and a research director at ERI Scientific Beta in Nice, France.
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  • For correspondence: felixgoltz@edhec.edu
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Abstract

A recent article by Hunstad and Dekhayser (JII, Summer 2015) introduced a novel measure of factor “purity”—the factor efficiency ratio—and concluded that the indexes analyzed “were generally unable to provide desired factor exposures without taking on substantial unintended exposures” and that indexes are not “pure” in their delivery of intended factor exposures. This note points out several questions regarding the relevance of factor efficiency ratios and similar assessments of purity of factor indexes.

TOPICS: Mutual funds/passive investing/indexing, analysis of individual factors/risk premia

  • © 2016 Pageant Media Ltd
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The Journal of Index Investing: 7 (1)
The Journal of Beta Investment Strategies
Vol. 7, Issue 1
Summer 2016
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Who Cares about Purity of Factor Indexes? A Comment on “Evaluating the Efficiency of ‘Smart Beta’ Indexes”
Noël Amenc, Felix Goltz
The Journal of Beta Investment Strategies May 2016, 7 (1) 10-13; DOI: 10.3905/jii.2016.7.1.010

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Who Cares about Purity of Factor Indexes? A Comment on “Evaluating the Efficiency of ‘Smart Beta’ Indexes”
Noël Amenc, Felix Goltz
The Journal of Beta Investment Strategies May 2016, 7 (1) 10-13; DOI: 10.3905/jii.2016.7.1.010
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  • Article
    • Abstract
    • LACK OF TRANSPARENCY OF PURITY MEASURES
    • SUBJECTIVITY OF PURITY MEASURES
    • IMPLEMENTATION PROBLEMS WITH PURE INDEXES
    • DOES PURITY MATTER?
    • REFERENCES
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