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 …

Présentation PowerPoint Page 1 Page 2 Robustness of Smart Beta Strategies Noël Amenc
Felix Goltz Page 3 3 • Introduction • Robustness Issues: Potential Sources of Lack of …

In this article, the authors compare different approaches for constructing multifactor equity
portfolios: bottom-up score-weighting approaches that target high-factor intensity and top-…

In this article, the authors contrast the claims of promoters of “bottom-up” approaches for
constructing multi-factor equity portfolios with relevant findings in the academic literature. In …

There has been significant evidence on the forecasting ability of Regime switching
regression models. Smart beta or alternative beta indices are gaining wide popularity among …

We first look at the six commonly rewarded risk factors—Size, Value, Momentum, Low Risk,
Investment and Profitability—and why they are rewarded. We follow that with a discussion on …

A number of smart-beta indices have been marketed as tools for investors to tilt their
portfolios toward factor exposures, such as size, value, low volatility and momentum, while …

Risk infuses everything we do so it goes almost without saying (but I’ll say it anyway) that risk
and retirement are highly intertwined topics. If we define what retirement researchers and …