[PDF][PDF] Efficient indexation: An alternative to cap-weighted indices
N Amenc, F Goltz, L Martellini, P Retkowsky - Journal of Investment …, 2011 - joim.com
This paper introduces a novel method for the construction of equity indices that, unlike their
cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction …
cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction …
Smart Beta 2.0
N Amenc, F Goltz - The Journal of Index Investing, 2013 - pm-research.com
Alternative equity indexes are likely to outperform traditional cap-weighted indexes over the
long term, research results show that such smart beta strategies are exposed to several …
long term, research results show that such smart beta strategies are exposed to several …
[PDF][PDF] Diversifying the diversifiers and tracking the tracking error: Outperforming cap-weighted indices with limited risk of underperformance
N Amenc, F Goltz, A Lodh, L Martellini - The Journal of Portfolio …, 2012 - academia.edu
Modern portfolio theory states that investors should allocate their wealth between a tangency
portfolio, or maximum Sharpe ratio (MSR) portfolio, and a riskless asset. In practice, when …
portfolio, or maximum Sharpe ratio (MSR) portfolio, and a riskless asset. In practice, when …
Empirical properties of straddle returns
F Goltz, WN Lai - Journal of Derivatives, 2009 - search.proquest.com
… In this article, Goltz and Lai examine the performance Of buying and holding one—month
straddles on the DAX index, with and without rebalancing, and find negative returns on average…
straddles on the DAX index, with and without rebalancing, and find negative returns on average…
“Honey, I Shrunk the ESG Alpha”: Risk-Adjusting ESG Portfolio Returns
The authors construct ESG strategies that have been shown to outperform in popular articles.
They assess performance benefits to investors when accounting for sector and factor …
They assess performance benefits to investors when accounting for sector and factor …
[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 indices. …
beta strategies, which try to generate outperformance over the standard market indices. …
[HTML][HTML] Doing good or feeling good? Detecting greenwashing in climate investing
N Amenc, F Goltz, V Liu - The Journal of Impact and ESG …, 2022 - jesg.pm-research.com
This article identifies greenwashing risks in climate investing. Requirements are defined for
strategies that are able to influence firms to reduce their greenhouse gas emissions. Based …
strategies that are able to influence firms to reduce their greenhouse gas emissions. Based …
Intangible capital and the value factor: Has your value definition just expired?
N Amenc, F Goltz, B Luyten - The Journal of Portfolio …, 2020 - pm-research.com
Many index providers claim that the book-to-price ratio is no longer a sufficient descriptor of
the value factor. They argue that it has become outdated because reported book value …
the value factor. They argue that it has become outdated because reported book value …
[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 smart-…
that although only 30% of investment professionals already use products tracking smart-…
The Performance of Characteristics‐based Indices1
N Amenc, F Goltz, V Le Sourd - European Financial …, 2009 - Wiley Online Library
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 …
market cap‐weighted indices. We analyse the performance of an exhaustive list of these …