Abstract
Well over 30% of investment professionals use products involving smart-beta indices, but the existing crop of products meant to address the well-recognized shortcomings of cap-weighted indices fail to do the trick. Although risk-based and factor-based smart-beta strategies are pitched as a way to avoid undesirable factor exposures and heavy concentrations, most of the current products do not meet that goal, according to <b>Noël Amenc</b>, <b>Felix Goltz</b>, <b>Ashish Lodh</b> and <b>Lionel Martellini</b>. In <b>Towards Smart Equity Factor Indices: <i>Harvesting Risk Premia without Taking Unrewarded Risks</i></b>, Amenc, Goltz, Lodh and Martellini of <b>ERI Scientific Beta</b> and <b>EDHEC Risk</b> Institute offer a new approach. That is, smart-factor indices that provide exposure to a rewarded factor while diversifying away unrewarded risks.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
