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The Journal of Beta Investment Strategies最新文献

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The Performance of Commodity ETFs in the United States 美国商品 ETF 的表现
The Journal of Beta Investment Strategies Pub Date : 2024-03-16 DOI: 10.3905/jbis.2024.1.059
Rompotis Gerasimos
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引用次数: 0
Stock Performance of the Cannabis Industry Compared to Other Sin Industries 大麻产业与其他罪恶产业的股票表现比较
The Journal of Beta Investment Strategies Pub Date : 2024-03-13 DOI: 10.3905/jbis.2024.1.058
Paige Turley, Weishen Wang, Frank Hefner
{"title":"Stock Performance of the Cannabis Industry Compared to Other Sin Industries","authors":"Paige Turley, Weishen Wang, Frank Hefner","doi":"10.3905/jbis.2024.1.058","DOIUrl":"https://doi.org/10.3905/jbis.2024.1.058","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"269 2‐3","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-03-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140247322","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Fab Four of Factor Timing 要素时机的四大要素
The Journal of Beta Investment Strategies Pub Date : 2024-01-18 DOI: 10.3905/jbis.2024.1.055
Marc Boettinger, Jason Chen
{"title":"The Fab Four of Factor Timing","authors":"Marc Boettinger, Jason Chen","doi":"10.3905/jbis.2024.1.055","DOIUrl":"https://doi.org/10.3905/jbis.2024.1.055","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"120 36","pages":""},"PeriodicalIF":0.0,"publicationDate":"2024-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139614932","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Constructing ESG Equity Index Portfolios—The Impact of Exclusions on Risk and Return 构建ESG股票指数投资组合——排除因素对风险和收益的影响
The Journal of Beta Investment Strategies Pub Date : 2023-08-31 DOI: 10.3905/jbis.2023.14.3.107
Jan-Carl Plagge
{"title":"Constructing ESG Equity Index Portfolios—The Impact of Exclusions on Risk and Return","authors":"Jan-Carl Plagge","doi":"10.3905/jbis.2023.14.3.107","DOIUrl":"https://doi.org/10.3905/jbis.2023.14.3.107","url":null,"abstract":"Based on a wide range of business involvement data, we construct and backtest rules-based ESG exclusion portfolios and assess the implications of individual exclusions as well as groups thereof on portfolio return, risk as well as factor exposures relative to the broad market. Across our sample covering companies from five equity markets (USA, Developed Europe, Japan, Developed Asia ex Japan as well as Emerging Markets) and 10 years ending in December 2022, we find the absolute of return and risk differences to be positively correlated with the portion of the underlying market that is excluded. For excess returns, this relationship largely disappears when moving from the absolute of to actual excess returns—indicating the absence of a uniform relationship between exclusions and return. Rather, the direction of the impact of exclusions on portfolio returns is found to be highly exclusion- as well as region dependent. An analysis of the drivers of return differences shows that the relevance and direction of style factor exposures is similarly exclusion- and region dependent. Once controlling for factors, we find alphas to be largely statistically insignificant. As a result of our findings, investors should pay special attention to the selection and specification of exclusions and whether these go hand in hand with systematic style factor tilts.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"216 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114088831","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Special Section Editor’s Introduction for 2023 Special Issue on Direct Indexing 2023年《直接索引》特刊编者简介
The Journal of Beta Investment Strategies Pub Date : 2023-08-31 DOI: 10.3905/jbis.2023.14.3.002
Benson W. Davis
{"title":"Special Section Editor’s Introduction for 2023 Special Issue on Direct Indexing","authors":"Benson W. Davis","doi":"10.3905/jbis.2023.14.3.002","DOIUrl":"https://doi.org/10.3905/jbis.2023.14.3.002","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117330111","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Expected Loss Harvest from Tax-Loss Harvesting with Direct Indexing 直接索引下税收损失收获的预期损失收获
The Journal of Beta Investment Strategies Pub Date : 2023-08-31 DOI: 10.3905/jbis.2023.14.3.042
Kevin Khang, Thomas H. Paradise, A. Cummings
{"title":"Expected Loss Harvest from Tax-Loss Harvesting with Direct Indexing","authors":"Kevin Khang, Thomas H. Paradise, A. Cummings","doi":"10.3905/jbis.2023.14.3.042","DOIUrl":"https://doi.org/10.3905/jbis.2023.14.3.042","url":null,"abstract":"We study the ‘loss harvest profile’—the total cumulative losses and the contour of these cumulative losses—of direct indexing (DI) investment over time, focusing on two key drivers: volatility environment and cash contributions by the investor. Whether the DI investor overlaps with a bear market (with high volatility) initially is a critical factor that determines the total loss harvest potential for a lump-sum investor. Initial volatility environment is also a major determinant of the loss harvest contour the investor experiences several years into tax-loss harvesting. Additional cash contributions generally lessen the importance of the initial volatility environment in shaping the loss harvest profile.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131705613","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Bond Ladders—Unlocking Direct Indexing Opportunities in Fixed Income 债券阶梯-开启固定收益直接指数投资机会
The Journal of Beta Investment Strategies Pub Date : 2023-07-31 DOI: 10.3905/jbis.2023.1.044
Issac Kuo, Jonathan Rocafort, Eric Bland, S. Fish
{"title":"Bond Ladders—Unlocking Direct Indexing Opportunities in Fixed Income","authors":"Issac Kuo, Jonathan Rocafort, Eric Bland, S. Fish","doi":"10.3905/jbis.2023.1.044","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.044","url":null,"abstract":"Direct indexing provides an alternative to index fund vehicles that offers more choice, greater flexibility, and tax advantages well beyond the scope of commingled investments. By directly holding index constituents, investors can achieve greater flexibility through environment, social, and governance (ESG) screens to filter the investable universe and generate tax advantages through tax-loss harvesting. These advantages are available in both equities and fixed income. However, fixed income offers additional dimensions of personalization such as duration and tax optimization between taxable and tax-free securities. Bond ladders are an effective way to track the overall bond market because of their unique reinvestment structure, and those reinvestments can be optimized by rules-based allocation decisions.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123249715","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Perceived Advantages of Self-Indexing for Institutional Equity Investors 机构股票投资者自指数的感知优势
The Journal of Beta Investment Strategies Pub Date : 2023-07-28 DOI: 10.3905/jbis.2023.1.043
Benjamin Herzog, Jenna Jones, Shahyar Safaee
{"title":"The Perceived Advantages of Self-Indexing for Institutional Equity Investors","authors":"Benjamin Herzog, Jenna Jones, Shahyar Safaee","doi":"10.3905/jbis.2023.1.043","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.043","url":null,"abstract":"Institutional asset owners increasingly seek to customize index-linked strategies in order to take their ESG and climate preferences into consideration. This trend away from cap-weighted benchmarks does, however, bring forth challenges for asset owners in fulfilling their fiduciary duties. To address these issues, a new self-indexing approach can provide investors with the tools to fully control the index design process and independently monitor the direct and indirect impacts of customization decisions. A 2023 EDHEC survey of institutional asset owners in North America and Europe reveals that less than half of respondents have the capacity to fully analyze their risk exposures, but more than 90% anticipate the further development of digitalized customization capabilities in the institutional passive investment industry. These findings highlight the significant potential for the use of self-indexing as a solution to help institutional asset owners fulfill their fiduciary responsibilities.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116788097","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Portfolio Choice with ESG Disagreement: Customizing Sustainability through Direct Indexing ESG分歧下的投资组合选择:通过直接指数定制可持续性
The Journal of Beta Investment Strategies Pub Date : 2023-07-25 DOI: 10.3905/jbis.2023.1.041
P. Ehling, Stig Roar Haukø Lundeby, L. Sørensen
{"title":"Portfolio Choice with ESG Disagreement: Customizing Sustainability through Direct Indexing","authors":"P. Ehling, Stig Roar Haukø Lundeby, L. Sørensen","doi":"10.3905/jbis.2023.1.041","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.041","url":null,"abstract":"There is strong demand for sustainable investing in direct indexing strategies. We examine implications of disagreement about environmental, social, and governance (ESG) ratings for portfolio choice by maximizing ESG scores subject to a tracking error constraint. Varying the ESG score we optimize on results in portfolios with substantial differences. Correlations between active weights of the ESG-optimized portfolios are even lower than correlations between ESG scores. Optimal portfolios have positive (negative) active weights in stocks with high (low) ESG scores, as expected, but in both cases a small market capitalization or high specific risk pulls the active weight toward zero. To attenuate ESG disagreement, we propose an optimal portfolio that maximizes the average ESG score across vendors and explicitly manages ESG disagreement by penalizing stocks with high ESG uncertainty. Increasing ESG uncertainty aversion thus means investing less in stocks with high ESG disagreement. Our solution is well suited for direct indexing clients wanting to express their sustainability beliefs.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128079275","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Using Covered Calls to Unlock Growth Equity for Income Investors 使用备兑看涨期权为收益型投资者解锁成长型股票
The Journal of Beta Investment Strategies Pub Date : 2023-07-12 DOI: 10.3905/jbis.2023.1.040
J. Staines, Bolanle Onifade
{"title":"Using Covered Calls to Unlock Growth Equity for Income Investors","authors":"J. Staines, Bolanle Onifade","doi":"10.3905/jbis.2023.1.040","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.040","url":null,"abstract":"Income-seeking investors naturally favor stocks with higher dividend yield in the equity portion of their portfolios. Although this helps meet their income objectives, it has some potentially undesirable consequences: a strong style bias and a lack of tactical flexibility in the style dimension. A growth equity covered call strategy is one possible tool for generating income in a multi-asset portfolio that can address these issues. We demonstrate the effectiveness of this type of strategy in generating income while providing diversification against conventional high dividend yield equity. We further show that the strategy’s diversification and income outcomes can be enhanced through systematic stock selection based on option market characteristics rather than growth characteristics alone.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123138060","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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