The past several years has witnessed the introduction of hundreds of so-called ‘smart beta’equity
indexes. These indexes provide exposure to risk factors, such as value or low volatility, …

In" Who Cares about Purity of Factor Indexes?" Amenc and Goltz (JII, Summer 2016) question
the relevance of the factor efficiency ratio and the ultimate need for efficiency in factor …

The significant outperformance or underperformance of groups of stocks, such as sectors,
styles or capitalization ranges, can create extreme levels of concentration in cap-weighted …

If you are engaged in factor-based investing and utilizing one of the many so-called smart beta
indices, you may not be getting the exposure you hoped for. To find out, compare the ratio …

One of the metrics that portfolio managers often use to gauge the success of factor investing
strategies is the factor-to-specific risk ratio. There is much confusion, however, regarding its …

Factor investing in India has seen much recent interest–primarily due to strong returns seen
in the momentum factor, compared to traditional choices for an investor. We present a …

This paper was built with the intention of verifying the evolution, over the last decades, of the
statistical significance of traditional factors used for equity factor investing, such as SMB (…

Structural differences across sectors (industries) can make cross-comparability of style
factors difficult. Simplistic factor definitions can lead to very large sector biases, for example a …

We show that monthly rebalanced, equal-weighted, long-only winner portfolios, drawn from
the top 200 stocks in India, built using systematic rules that underpin popular factors of …

We investigate two popular approaches to long-only style investing that are often considered
as potential starting points for smart beta investors: the “portfolio mix” that builds a style …