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The Performance of Characteristics-based Indices-super-1


  • Noël Amenc
  • Felix Goltz
  • Véronique Le Sourd


"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 indices and show that i) the outperformance over value-weighted indices may be negative over long time periods, and ii) there is no significant outperformance over equal-weighted indices. An analysis of the style and sector exposures of characteristics-based indices reveals a significant value tilt. When this tilt is properly adjusted for, the abnormal returns of these indices decrease considerably. Moreover, it is straightforward to construct portfolios with higher Sharpe ratios than characteristics-based indices through factor or sector tilts." Copyright (c) 2008 The Authors Journal compilation (c) 2008 Blackwell Publishing Ltd.

Suggested Citation

  • Noël Amenc & Felix Goltz & Véronique Le Sourd, 2009. "The Performance of Characteristics-based Indices-super-1," European Financial Management, European Financial Management Association, vol. 15(2), pages 241-278.
  • Handle: RePEc:bla:eufman:v:15:y:2009:i:2:p:241-278

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    Cited by:

    1. repec:eee:finana:v:51:y:2017:i:c:p:1-15 is not listed on IDEAS
    2. Brigette Forbes & Anup Basu, 2011. "Does Fundamental Indexation Lead to Better Risk Adjusted Returns? New Evidence from Australian Securities Exchange," School of Economics and Finance Discussion Papers and Working Papers Series 275, School of Economics and Finance, Queensland University of Technology.
    3. Ardia, David & Boudt, Kris & Wauters, Marjan, 2016. "The economic benefits of market timing the style allocation of characteristic-based portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 38-62.
    4. repec:pal:assmgt:v:18:y:2017:i:3:d:10.1057_s41260-016-0038-z is not listed on IDEAS

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