Browsing: smart beta

Posts Tagged ‘ smart beta ’

Canadian Mutual Funds Readying to Launch Liquid Alternatives

Nov 18th, 2018 | Filed under: Newly Added, Retail Investing, The A.I. Industry, Liquid Alternative Investiments, Alternative Mutual Funds, Liquid Alts, Smart Beta, Sales & Marketing in the AI Industry, Other Topics in A.I.

Scotiabank recently released what it calls a “high-level guide for mutual fund companies interested in launching liquid alternative products.” The creation of this guide was stimulated by a reform of the regulations of the Canadian Securities Administrators, aimed at making liquid alternatives more readily available to investors in Canada. OnRead More


Robeco Researcher on Factor Premiums and ETFs

Mar 6th, 2018 | Filed under: Newly Added, Liquid Alternative Investiments, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

David Blitz has recently discussed the concern in some quarters that factor premiums may disappear as they are arbitraged away by exchange-traded funds. Blitz, the head of quantitative equity research at Robeco Asset Management, says that such a concern is not justified, because “the exposures of ETFs that may beRead More


SSGA on Smart Beta

Feb 8th, 2018 | Filed under: Newly Added, Alpha & Beta, Liquid Alternative Investiments, Liquid Alts, Smart Beta, Allocating to A.I., Other Topics in A.I.

State Street Global Advisers has put out a “Complete Guide to Smart Beta.” A preface by Lynn S. Blake explains that the focus of the paper is not on equity products but on “exciting new developments in the fixed income world.” Within that space, multi-factor strategies will proliferate going forward.Read More


Unsophisticated Techniques of Equity Factor Investing Still Prevail

Feb 1st, 2018 | Filed under: Newly Added, Alpha & Beta, Institutional Investing, Asset allocation, Asset Allocation Models, Institutional Asset Management, Allocating to A.I.

EDHEC Risk Institute, in collaboration with ERI Scientific Beta, surveyed 114 investment professionals between June and September 2017 about their motivation and interests with regard to equity factor strategies. It found that many, especially on the asset owners’ side of things, were strikingly distant from the state-of-the-art in analytical approachesRead More


State Street Forecasts on Smart Beta

Dec 12th, 2017 | Filed under: Newly Added, Alpha & Beta, Liquid Alternative Investiments, Institutional Investing, Smart Beta, Institutional Asset Management, Allocating to A.I., Finance & Economics, Other Topics in A.I.

State Street Global Advisors has a new paper out that seeks to help State Street clients “refine their own strategic asset allocation” especially insofar as their portfolios include smart beta investments, by explaining how State Street forecasts returns, and where the forecasts as to some of the factor returns standRead More


A look at the European pension industry

Nov 28th, 2017 | Filed under: Newly Added, Alpha & Beta, Institutional Investing, Institutional Asset Management, Allocating to A.I.

Three years ago, Amin Rajan, the CEO of CREATE-Research, prepared a study of the way that pension plans had reacted to the global financial crisis and to the subsequent financial conditions.  His study continues to be worthy of attention in 2017. The study included a survey of 190 pension plansRead More


Lazard Research on Smart Beta

Nov 5th, 2017 | Filed under: Newly Added, Due Diligence Process, Financial Economics Theory, Behavioral finance, Smart Beta, Risk Management & Operations, Finance & Economics, Other Topics in A.I.

Jason Williams, senior vice president at Lazard Asset Management, has written a white paper on the “six sins of smart beta.” First: what is smart beta? Academic studies indicate anomalies in the markets that somehow don’t get arbitraged away.  These become identified as “factors” and indexes can be designed soRead More


FACTOR RETURNS: SMALL VS. LARGE CAPS

Nov 1st, 2017 | Filed under: Newly Added, Finance & Economics, Other Topics in A.I.

By Nicolas Rabener, FactorResearch Are Factor Returns Limited to Small Caps? Summary: A frequent criticism of factor investing is that factor returns are stronger in small caps; Our research highlights that this is not uniformly true across factors; and Value and Size benefit most from including small caps. INTRODUCTION FactorRead More


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

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

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: Newly Added, Liquid Alternative Investiments, Sales & Marketing in the AI Industry, Other Topics in A.I.

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: Newly Added, Smart Beta, Allocating to A.I., Other Topics in A.I.

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: Newly Added, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

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: Newly Added, Alpha & Beta, Liquid Alternative Investiments, Liquid Alts, ETFs, Smart Beta, Allocating to A.I., Other Topics in A.I.

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: Newly Added, Alpha & Beta, Institutional Asset Management, Allocating to A.I.

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: Newly Added, CAPM / Alpha Theory, Financial Economics Theory, Finance & Economics

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: Newly Added, Alpha & Beta, Investing in Commodities, Asset allocation, Asset Allocation Models, Commodities, Smart Beta, Allocating to A.I., Other Topics in A.I.

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: Newly Added, CAPM / Alpha Theory, Alpha & Beta, Financial Economics Theory, Alternative Beta & Hedge Fund Replication, Smart Beta, Allocating to A.I., Finance & Economics, Other Topics in A.I.

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: CAPM / Alpha Theory, Alpha Strategies, Risk management, Liquid Alts, ETFs, 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