This paper introduces a novel method for the construction of equity indices that, unlike their
cap-weighted counterparts, offer an efficient risk/return trade-off. The index construction …

Alternative equity indexes are likely to outperform traditional cap-weighted indexes over the
long term, research results show that such smart beta strategies are exposed to several …

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 …

… In this article, Goltz and Lai examine the performance Of buying and holding one—month
straddles on the DAX index, with and without rebalancing, and find negative returns on average…

The authors construct ESG strategies that have been shown to outperform in popular articles.
They assess performance benefits to investors when accounting for sector and factor …

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. …

This article identifies greenwashing risks in climate investing. Requirements are defined for
strategies that are able to influence firms to reduce their greenhouse gas emissions. Based …

Many index providers claim that the book-to-price ratio is no longer a sufficient descriptor of
the value factor. They argue that it has become outdated because reported book value …

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-…

This paper analyses a set of characteristics‐based indices that, it has been argued, outperform
market cap‐weighted indices. We analyse the performance of an exhaustive list of these …