RECHERCHE ET PUBLICATIONS

Improved Beta? A Comparison of Index-Weighting Schemes

This paper analyses a set of equity indices whose aim is to improve on capitalisation weighting and thus to provide “improved beta”.

Auteur(s) :

Noel Amenc

Professor of finance and director of EDHEC-Risk Institute.

Lionel Martellini

Professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute.

Felix Goltz

Head of Applied Research at EDHEC-Risk Institute.

Lin Tang

Research Analyst at EDHEC-Risk Institute.

Four main weighting schemes are analysed: efficient indices, fundamental indices, minimum-volatility indices, and equal-weighted indices. Empirical results for US data on these indices show that the average returns of all four alternative index construction methods are superior to those of cap-weighted equity indices and that, by several measures of risk-adjusted performance, they are likewise superior. With the notable exception of fundamental indices, which have substantial exposure to the value factor, none of the aforementioned weighting schemes has a significant style bias. Our analysis suggests that their superiority to capitalisation weighting can be explained by better diversification rather than by greater exposure to rewarded risk factors.

Type : Publication EDHEC
Date : le 18/04/2011
Pôle de recherche Finance

A voir également

17 NEW STARTUPS JOIN THE EDHEC ENTREPRENEURS ADVENTURE
Actualités
- 24-01-2022
2022 looks promising! EDHEC Entrepreneurs and its team are very pleased to welcome 17...
Des étudiants s’impliquent dans l’amélioration de l’accueil des jeunes déscolarisés à la Mission locale de Roubaix
Actualités
- 19-01-2022
Pendant un mois, les étudiants du MSc in Entrepreneurship & Innovation ont...
La lutte contre le réchauffement climatique au cœur de la spécialisation EDHEC-Coursera
Actualités
- 18-01-2022
L'EDHEC Business School, à travers son centre de recherche académique sur la finance,...
« The Future of Finance » : L'EDHEC affirme son leadership en finance en inaugurant une série de conférences prospectives à forte valeur ajoutée académique
Actualités
- 17-01-2022
L'EDHEC Business School propose un cycle de conférences mensuelles intitulé « The...