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| Tekijä: | Amenc, N. Goltz, F. Sourd, V. Le |
| Otsikko: | The performance of characteristics-based indices |
| Lehti: | European Financial Management
2009 : MAR, VOL. 15:2, p. 241-278 |
| Asiasana: | index-linked securities performance measurement portfolio investment |
| Kieli: | eng |
| Tiivistelmä: | A set of characteristics-based indices that, it has been argued, outperform market cap-weighted indices is analysed in this article. The performance of an exhaustive list of these indices is analysed and it is shown that 1) the outperformance over value-weighted indices may be negative over long time periods, and 2) there is no significant outperformance over equal-weighted indices. It is revealed by an analysis of the style and sector exposures of characteristics-based indices that there is a significant value tilt. |
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