PT  - JOURNAL ARTICLE
AU  - Noël Amenc
AU  - Felix Goltz
AU  - Ashish Lodh
AU  - Lionel Martellini
ED  - Mack, Barbara J.
TI  - Practical Applications of Towards Smart Equity Factor Indices: <em>Harvesting Risk Premia without Taking Unrewarded Risks</em>
AID  - 10.3905/pa.2015.3.sb.001
DP  - 2015 Dec 31
TA  - Practical Applications
PG  - 1--5
VI  - 3
IP  - SB
4099  - https://pm-research.com/content/3/SB/1.1.short
4100  - https://pm-research.com/content/3/SB/1.1.full
AB  - Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risks Noël Amenc Felix Goltz Ashish Lodh Lionel Martellini 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 Noël Amenc , Felix Goltz , Ashish Lodh and Lionel Martellini .In Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Unrewarded Risks , Amenc, Goltz, Lodh and Martellini of ERI Scientific Beta and EDHEC Risk Institute offer a new approach. That is, smart-factor indices that provide exposure to a rewarded factor while diversifying away unrewarded risks.