Browsing: Smart Beta

Smart Beta

The Intelligent Use of Smart Beta     

May 25th, 2017 | Filed under: Allocating to A.I., Newly Added, Other Topics in A.I., 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 client portfolios. Not only have quantitative firms grown in stature, but many fundamentalRead 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


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


How Robust is a Smart Beta Strategy?

Oct 15th, 2015 | Filed under: Liquid Alternative Investiments, Other Topics in A.I., Smart Beta

According to one scholarly count, there are no fewer than 314 factors that might be used in selecting a portfolio, each with a positive historical risk premium. A strategy construction could be produced through more-or-less arbitrary fishing in this large pond. Smart beta produced that way might not be smart -- or, at least, not robustly smart.Read 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