Research and publications
Active Allocation To Smart Factor Indices
This paper provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity smart factor indices in a context where relative risk with respect to the cap ...
Author(s):
Noel Amenc, Guillaume Coqueret, Lionel Martellini
Summary:
This paper provides a formal empirical analysis of the benefits of strategic and tactical allocation to multiple equity smart factor indices in a context where relative risk with respect to the cap-weighted indices needs to be explicitly controlled for. The focus of this paper is to provide a quantitative assessment of the benefits expected from the three sources of added-value (which come from time-varying strategic, time-varying tactical or time-varying core-satellite allocation decisions) in the design of equity benchmarks with superior risk and return characteristics.
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Register/Log in| Type : | Position paper |
|---|---|
| Date : | 06/07/2015 |
| Keywords : |
Indexes and Benchmarking |
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