{"title":"A Tax-Loss Harvesting Horserace: Direct Indexing versus ETFs","authors":"R. Israelov, Jason Lu","doi":"10.3905/jbis.2023.1.039","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.039","url":null,"abstract":"This article proposes and analyzes an enhanced, but easily implemented, heuristic for tax-loss harvesting within a portfolio of stocks. Because stock returns are correlated within and across sectors, harvesting opportunities may simultaneously arise across many stocks that also concentrate in individual sectors, and the active risk of undertaking all available harvests may become undesirable. Our algorithm balances harvesting yield, active risk, portfolio rebalancing, and turnover. We evaluate the performance of our heuristic using Monte Carlo simulations across time and within different market environments. We show that harvesting yield for a portfolio of stocks is superior to market ETFs.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-07-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125275933","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}
{"title":"Active versus Passive: In the Bond Universe","authors":"Agnieszka Gehringer, K. Lehmann","doi":"10.3905/jbis.2023.1.037","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.037","url":null,"abstract":"The recent rapid growth of passive investment instruments in the fixed-income market raises the question of their relative outperformance compared to corresponding active investment strategies. This article analyzes an ample sample of actively managed global bond funds over the period from 2010 to 2020 and compares them with the performance of the passive instruments tracking the apposite bond market index, namely, the Bloomberg Barclays Multiverse Index. On average, the active bond managers and index are roughly in line. However, a closer look at the distribution of returns on active strategies shows that some managers are successful in beating the index frequently or over many years.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"196 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123232208","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}
{"title":"Performance and Performance Persistence of Europe-Focused ETFs in the United States","authors":"Gerasimos G. Rompotis","doi":"10.3905/jbis.2023.1.038","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.038","url":null,"abstract":"This study examines the performance and performance persistence of US-listed exchange-traded funds (ETFs) that are focused on the European capital markets. Performance is estimated in several ways—raw returns, alphas from single-factor and multifactor regression models, and risk-adjusted returns. The sample includes 43 ETFs, and the study period spans from January 1, 2015, to December 31, 2022. The results reveal that, on average, the examined ETFs cannot beat the S&P 500 Index and STOXX Europe 600 Index, which serve as proxies for the US and European stock markets, respectively. In addition, the results show that the performance of the Europe-focused ETFs does not persist.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121474749","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}
{"title":"COMMENTARY: A Final Word","authors":"John G. Feyerer","doi":"10.3905/jbis.2023.1.036","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.036","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"1 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114100650","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}
{"title":"The Beta Factor in the REIT Industry","authors":"Tamala Amelia Manda","doi":"10.3905/jbis.2023.1.035","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.035","url":null,"abstract":"This study explores the beta factor in the South African real estate investment trust (REIT) industry. Using MASCOFLAPEC, historical, and Monte Carlo (vanilla, antithetic, and quasi-random) betas, the author confirms that the beta factor and volatility theory have the same intuitive explanation. Interestingly, the beta factor, as shown by quantitative and qualitative betas, appropriately accounts for the financial position and financial health of REITs. The alphas (Sharpe, Treynor, and Jensen) support the findings on the betas.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-04-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132526115","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}
{"title":"Economic Exposure Indexes: Investable Options for a Global World in Flux","authors":"J. Kaplan, S. Schoenfeld, Joy Yang","doi":"10.3905/jbis.2023.1.034","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.034","url":null,"abstract":"The seemingly inexorable globalization trend has been halted by the COVID-19 pandemic, heightened geopolitical tension, the war in Ukraine, and inflation on a global scale. Although it is unimaginable to expect a fully deglobalized world, structural trends toward localization now exist. The impact of global and local macro drivers will impact business depending on their dominant business exposure. Investors who want to capture these differences that may result in divergent trends will need a targeted approach that segments companies within a country or region by their revenue exposure to global or local drivers. Precisely defined global and domestic economic exposure indexes allow investors to supplement or diversify their country/regional exposure, or take tactical investment actions to add alpha.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"42 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127432621","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}
{"title":"Remember to Diversify Your Active Risk: Evidence from US Equity ETFs","authors":"Benjamin Herzog, Jenna Jones, Shahyar Safaee","doi":"10.3905/jbis.2023.1.033","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.033","url":null,"abstract":"In this article, the authors estimate the level of risk diversification for a universe of US equity exchange-traded funds (ETFs) and observe the benefits of diversification for the budgeting of active risk relative to a cap-weighted benchmark. They first introduce a risk model that needs only historical returns to break down relative risk into individual factor-related risk contributions, thus allowing for the construction of a measure of concentration directly inspired by the equally weighted risk contribution concept. They then use this concentration measure to highlight the impact of diversification on tracking-error stability and find conclusive empirical evidence that US equity ETFs that have a diversified set of systematic active risk contributions have a more stable tracking error (TE). These results suggest that investors seeking a stable TE for active risk–budgeting purposes may benefit from selecting ETFs with a strong level of risk diversification.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"12 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133041759","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}
{"title":"Harnessing the Power of Exchange-Traded Products for Commodity Exposure","authors":"Benjamin McMillan, Joshua Myers","doi":"10.3905/jbis.2023.1.029","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.029","url":null,"abstract":"Exchange-traded products have proven to be an efficient and effective means for investors to gain access to asset classes such as commodities. After several years of a prolonged drawdown, commodities are beginning to regain favor with investors; however, excessive volatility and the historic propensity for large drawdowns remain an impediment for the asset class. Active managers have long successfully used time-tested principles, such as momentum, to successfully regulate exposure to commodities. In this article, the author puts forth a straightforward methodology using time-series momentum applied to commodity exchange-traded products to produce a dynamic portfolio that can provide exposure to the asset class while mitigating risk.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127534708","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}