[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 …

[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. …

[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-…

[PDF][PDF] Diversified or concentrated factor tilts?

N Amenc, F Ducoulombier, F Goltz, A Lodh… - The Journal of …, 2016 - academia.edu
At the outset, smart beta was conceived as a response to two drawbacks of broad-market,
capitalization-weighted (hereafter, market-cap) indices. The first drawback is that such …

Smart beta is not monkey business

N Amenc, F Goltz, A Lodh - The journal of index investing, 2016 - search.proquest.com
Monkey portfolio proponents argue that all smart beta strategies generate positive value and
small-cap exposure, which fully explains their outperformance. They also claim that similar …

[PDF][PDF] Robustness of smart beta strategies

…, S Sivasubramanian, A Lodh - The Journal of Index …, 2015 - pdfs.semanticscholar.org
• Harvey et al [2013] document a total of 314 of factors with positive historical risk premium
showing that the discovery of the premium could be a result of data mining. The practice of …

When and How Are Analysts' Price Targets and Recommendations Useful?

…, RM Ennis, W Virgaonkar, A Gupta, A Lodh… - The Journal of …, 2023 - pm-research.com
The Journal of Investing (JOI) is a scholarly journal for the financial services industry, appealing
to both the academic and practitioner audiences. The JOI offers practical analysis and …

Mind the gap: on the importance of understanding and controlling market risk in smart beta strategies

N Amenc, F Goltz, A Lodh - Journal of Portfolio Management, 2018 - search.proquest.com
The authors argue that more attention should be paid to market exposure when conducting
analyses of smart beta strategies. They point out that most research proposing new …

How Many Securities Should an Active Manager Hold?

…, W Virgaonkar, A Gupta, A Lodh… - The Journal of …, 2023 - pm-research.com
The Journal of Investing (JOI) is a scholarly journal for the financial services industry, appealing
to both the academic and practitioner audiences. The JOI offers practical analysis and …

R&D Premium: The Intangible Side of Value

…, W Virgaonkar, A Gupta, A Lodh… - The Journal of …, 2023 - pm-research.com
The Journal of Investing (JOI) is a scholarly journal for the financial services industry, appealing
to both the academic and practitioner audiences. The JOI offers practical analysis and …