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Choose Your Betas: Benchmarking Alternative
Equity Index Strategies

Noël Amenc, Felix Goltz and Ashish Lodh
The Journal of Portfolio Management Fall 2012, 39 (1) 88-111; DOI: https://doi.org/10.3905/jpm.2012.39.1.088
Noël Amenc
is a professor of finance at EDHEC Business School, director of the EDHEC Risk Institute, and CEO of ERI Scientific Beta in London, UK.
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  • For correspondence: noel.amenc@edhec-risk.com
Felix Goltz
is the head of applied research at the EDHEC Risk Institute and research director of ERI Scientific Beta in Nice, France.
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  • For correspondence: felix.goltz@edhec-risk.com
Ashish Lodh
is a quantitative analyst at ERI Scientific Beta in Nice, France.
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  • For correspondence: ashish.lodh@edhec-risk.com
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Article Information

vol. 39 no. 1 88-111
DOI 
https://doi.org/10.3905/jpm.2012.39.1.088

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online October 31, 2012.

Copyright & Usage 
© 2012 Pageant Media Ltd

Author Information

  1. Noël Amenc
    1. is a professor of finance at EDHEC Business School, director of the EDHEC Risk Institute, and CEO of ERI Scientific Beta in London, UK. (noel.amenc{at}edhec-risk.com)
  2. Felix Goltz
    1. is the head of applied research at the EDHEC Risk Institute and research director of ERI Scientific Beta in Nice, France. (felix.goltz{at}edhec-risk.com)
  3. Ashish Lodh
    1. is a quantitative analyst at ERI Scientific Beta in Nice, France. (ashish.lodh{at}edhec-risk.com)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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The Journal of Portfolio Management: 39 (1)
The Journal of Portfolio Management
Vol. 39, Issue 1
Fall 2012
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Choose Your Betas: Benchmarking Alternative
Equity Index Strategies
Noël Amenc, Felix Goltz, Ashish Lodh
The Journal of Portfolio Management Oct 2012, 39 (1) 88-111; DOI: 10.3905/jpm.2012.39.1.088

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Choose Your Betas: Benchmarking Alternative
Equity Index Strategies
Noël Amenc, Felix Goltz, Ashish Lodh
The Journal of Portfolio Management Oct 2012, 39 (1) 88-111; DOI: 10.3905/jpm.2012.39.1.088
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  • Article
    • Abstract
    • ISSUES WITH ADVANCED BETA EQUITY STRATEGIES: CONCEPTUAL CONSIDERATIONS
    • DISENTANGLING STOCK SELECTION AND DIVERSIFICATION: EMPIRICAL ILLUSTRATIONS
    • BENCHMARKING POPULAR ADVANCED BETA EQUITY METHODOLOGIES
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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  • PDF (Subscribers Only)

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