Browsing: smart beta

Posts Tagged ‘ smart beta ’

What They’re Saying About Smart Beta, Tactics, and Strategy

Jun 13th, 2017 | Filed under: Liquid Alternative Investiments, Liquid Alts, Newly Added, Other Topics in A.I., Smart Beta, SRI and Clean Energy

For four years now, FTSE Russell has surveyed global institutions, asking about their interest in smart beta indexes and about their allocations to investable products based on same. The 2017 survey results are in. The new survey finds (as did the earlier ones) that risk reduction, return enhancement, and improvedRead More


Lawsuit in California, Survey in Europe: On ETF Managers and Investors

Jun 4th, 2017 | Filed under: Liquid Alternative Investiments, Newly Added, Other Topics in A.I., Sales & Marketing in the AI Industry

Late last year a California state court found that the plaintiffs in a class action suit stated a cause of action when they alleged that the defendant, iShares Trust, had failed to disclose the material risk of using market or stop loss orders in connection with ETFs. This spring theRead More


The Intelligent Use of Smart Beta     

May 25th, 2017 | Filed under: Allocating to A.I., Newly Added, Other Topics in A.I., Smart Beta

This is the first of a series of articles on smart beta. By Scott Opsal, The Leuthold Group Understanding Factor Returns And Market Conditions Quantitative investing has become an integral component of professional investment management, and smart beta funds have become popular vehicles for advisors as they assemble actively-managed clientRead More


Factor Investing And The Importance Of Market Cycles

Mar 15th, 2017 | Filed under: Allocating to A.I., ETFs, Newly Added, Other Topics in A.I., Smart Beta

By Scott Opsal, CFA Director of Equities, The Leuthold Group The widespread popularity of smart beta ETFs demonstrates that factor-based investing has advanced from the province of academia to rank among the most popular investment strategies for institutional and retail investors. Originally of interest to researchers looking to test, andRead More


BlackRock: Smart Beta Strategies Have Room for Growth

Mar 5th, 2017 | Filed under: Allocating to A.I., Alpha & Beta, ETFs, Liquid Alternative Investiments, Liquid Alts, Newly Added, Other Topics in A.I., Smart Beta

A recent Columbia Business School research paper looks into the transaction costs associated with smart beta strategies in order to estimate the capacity of each strategy. The three authors of the report are all affiliated with asset manager BlackRock Inc. They are: Ronald Ratcliffe, Paolo Miranda, and Andrew Ang. RatcliffeRead More


The Principal-Agent Problem and Smart Beta

Mar 2nd, 2017 | Filed under: Allocating to A.I., Alpha & Beta, Institutional Asset Management, Newly Added

Economists  devote a good deal of attention to what they call the “principal-agent problem,” defined to include the whole nest of conflicts of interest and moral hazards that arise when one party agrees to work for and make decisions on behalf of another, especially when the goal is to  optimizeRead More


Active Share: Empirical and Conceptual Issues

Jan 17th, 2017 | Filed under: CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Newly Added

In 2009, Martijn Cremers, of the University of Notre Dame, and Antti Petajisto of New York University, introduced a new portfolio measurement they called Active Share, measuring in percentage terms the deviation of a portfolio from its benchmark (deviation in holdings, not in performance). Thus, a portfolio with 100% activeRead More


Factor-Based Asset Allocation

Jun 19th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Asset allocation, Asset Allocation Models, Commodities, Investing in Commodities, Newly Added, Other Topics in A.I., Smart Beta

A paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More


Smart Beta Strategy: Aces Australian Scrutiny

Jan 10th, 2016 | Filed under: Allocating to A.I., Alpha & Beta, Alternative Beta & Hedge Fund Replication, CAPM / Alpha Theory, Finance & Economics, Financial Economics Theory, Newly Added, Other Topics in A.I., Smart Beta

Paul Docherty, a senior lecturer at Newcastle Business School. University of Newcastle, in Australia, has studied the performance of the factors that underlie smart beta portfolios within the equity markets of that country. On the basis of a long time-series of data, Docherty has concluded that four such factors “allRead More


European Investor Satisfaction with Smart Beta ETFs

Jun 28th, 2015 | Filed under: Alpha Strategies, CAPM / Alpha Theory, ETFs, Liquid Alts, Risk management, Smart Beta

Two authors at EDHEC remind us that 15% of the assets in any ETF or ETF-like products for European investors were in smart-beta indexed products as of August 2014, and that this amount is growing. They discuss the extent to which investors are pleased with their results. Read More