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The Journal of Beta Investment Strategies最新文献

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A News-Based Model for Pricing Equity Exchange-Traded Fund Holdings 基于新闻的股票交易所交易基金持股定价模型
The Journal of Beta Investment Strategies Pub Date : 2023-01-27 DOI: 10.3905/jbis.2023.1.030
Anatoly B. Schmidt
{"title":"A News-Based Model for Pricing Equity Exchange-Traded Fund Holdings","authors":"Anatoly B. Schmidt","doi":"10.3905/jbis.2023.1.030","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.030","url":null,"abstract":"A news-based model (NBM) in which stock prices are determined by three types of news is proposed. The first type is nondiversifiable macroeconomic and geopolitical news. Their impact on prices is accounted for using the total market return in the spirit of the capital asset pricing model. The second type is the equity sector/industry news whose impact on prices is modeled with returns of the relevant industry exchange-traded funds (ETFs). Finally, the company-specific news and its momentum are described using an optimized ARMA-GARCH model. It is found that, in some equity sectors, the industry impact on stock returns may exceed the total market impact. A comparison of the accuracy of NBM and the momentum-enhanced five-factor Fama–French model for a representative list of holdings of 10 major US equity sector ETFs demonstrates superiority of the former in most examples.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"56 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":"124505255","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: 1
Is There Value in Large Cap Index Selection? 选择大盘股指数有价值吗?
The Journal of Beta Investment Strategies Pub Date : 2023-01-27 DOI: 10.3905/jbis.2023.1.032
Chris Romano
{"title":"Is There Value in Large Cap Index Selection?","authors":"Chris Romano","doi":"10.3905/jbis.2023.1.032","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.032","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"1 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":"121553074","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
Exchange-Traded Funds, Liquidity, and Centralized Risk Books: Moving Liquidity beyond the Portfolio 交易所交易基金、流动性和集中风险账簿:将流动性转移到投资组合之外
The Journal of Beta Investment Strategies Pub Date : 2023-01-25 DOI: 10.3905/jbis.2023.1.028
Dan Madden
{"title":"Exchange-Traded Funds, Liquidity, and Centralized Risk Books: Moving Liquidity beyond the Portfolio","authors":"Dan Madden","doi":"10.3905/jbis.2023.1.028","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.028","url":null,"abstract":"Since 1993, exchange-traded fund (ETF) product development has grown from broad-based equity benchmark indexes (i.e., S&P 500 Index) into a variety of asset classes and innovative, nontraditional index and active strategies. With this evolution, ETF issuers look to ensure that an ETF product lineup is supported by appropriate market participants. ETF capital market teams engage market participants (authorized participants and market makers) to understand each trading firm’s specific trading, hedging, and risk management processes. Based on the capabilities, the capital market groups select an appropriate lead market maker/designated liquidity provider. This selection process includes a market participant due diligence process. Given that ETF trading involves portfolios of underlying securities, capital markets teams look to engage with market participants using centralized risk books. Centralized risk books enable market participants to digest a variety of investment strategies into a well-diversified firm portfolio. Trading firms segregate centralized risk books across specific asset classes (US domestic equities, international equities, fixed income, commodities) as well as maintain oversight at a global level.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"215 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114001731","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
Exchange-Traded Funds: Are Excess Returns Normally Distributed? 交易所交易基金:超额收益是否正态分布?
The Journal of Beta Investment Strategies Pub Date : 2023-01-25 DOI: 10.3905/jbis.2023.1.027
Maximilian Hopf, Ralf Hudert, Michael G. Schmitt, Michael von Thaden
{"title":"Exchange-Traded Funds: Are Excess Returns Normally Distributed?","authors":"Maximilian Hopf, Ralf Hudert, Michael G. Schmitt, Michael von Thaden","doi":"10.3905/jbis.2023.1.027","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.027","url":null,"abstract":"In today’s asset management world, exchange-traded funds (ETFs) play a crucial role. When reviewing their performance against the benchmark, it is often assumed that any excess returns are normally distributed. The aim of this article is to check the assumption of normal distribution for excess returns for ETFs. The authors show that for a considerable number of ETFs this assumption does not hold true. Furthermore, the authors show how false assumptions regarding the distribution of the excess returns might affect the risk estimation with respect to the excess returns.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130708991","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
Market Timing, Selectivity, and Performance of Technology Exchange-Traded Funds and Mutual Funds 技术交易所交易基金和共同基金的市场时机、选择性和绩效
The Journal of Beta Investment Strategies Pub Date : 2023-01-21 DOI: 10.3905/jbis.2023.1.026
D. Malhotra
{"title":"Market Timing, Selectivity, and Performance of Technology Exchange-Traded Funds and Mutual Funds","authors":"D. Malhotra","doi":"10.3905/jbis.2023.1.026","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.026","url":null,"abstract":"This study compares the risk-adjusted performance of technology mutual funds and exchange-traded funds with several benchmark indexes from January 2010 to July 2021. It is discovered that the average monthly returns on technology mutual funds and exchange-traded funds were highly correlated with the DJIA US Technology, NASDAQ 100 Tech, NYSE Arca Tech 100 Index, and S&P 500 Information Technology benchmark indexes. Furthermore, technology mutual funds outperformed exchange-traded funds and benchmark indexes in absolute and risk-adjusted performance. In addition, it is discovered that institutional technology funds’ risk-adjusted performance was marginally greater than noninstitutional funds’ risk-adjusted performance, and index technology mutual funds outperformed nonindex funds in risk-adjusted performance. Unconditional models indicated that technology mutual fund managers may have some market timing ability but no security selection skill. Conditional performance evaluation models indicated that fund managers do not have superior security selection techniques or the ability to time the market.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"86 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116553073","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: 1
Exploring the Effectiveness of Trailing Stop-Loss Strategies for Individual Investors 个人投资者追踪止损策略的有效性探讨
The Journal of Beta Investment Strategies Pub Date : 2023-01-19 DOI: 10.3905/jbis.2023.1.025
Steven D. Dolvin, Bryan Foltice
{"title":"Exploring the Effectiveness of Trailing Stop-Loss Strategies for Individual Investors","authors":"Steven D. Dolvin, Bryan Foltice","doi":"10.3905/jbis.2023.1.025","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.025","url":null,"abstract":"The authors empirically examine the effectiveness of trailing stop-loss (TSL) strategies in generating excess returns for individual investors. Using data from January 1, 2001, to December 31, 2021, the authors analyze four popular US-based market-level exchange-traded funds (ETFs) and nine sector-level ETFs. Using various fixed percentages and historical volatility levels to determine the TSL threshold rule (i.e., the downside stop price at which investors would exit a position), the authors find that low thresholds (i.e., narrower downside stop prices) yield significantly lower excess returns, and higher thresholds, typically between 1.0 and 1.5 standard deviations, provide significantly higher excess returns. Moreover, the vast majority of the TSL trading strategies post positive excess returns even after including transaction costs and systematic risks, regardless of the threshold level.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"137 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134192178","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
Risk “Dis”-Parity 风险”说“平价
The Journal of Beta Investment Strategies Pub Date : 2023-01-18 DOI: 10.3905/jbis.2023.1.023
Ryan Poirier
{"title":"Risk “Dis”-Parity","authors":"Ryan Poirier","doi":"10.3905/jbis.2023.1.023","DOIUrl":"https://doi.org/10.3905/jbis.2023.1.023","url":null,"abstract":"In this article we introduce a new allocation strategy called Risk “Dis”-Parity. Much like Risk Parity, it considers the riskiness of both equities and bonds. However, unlike Risk Parity, this strategy explicitly considers the well-documented financial time series characteristics found in both equities and bonds. Using a rank-based methodology, our results suggest Risk “Dis”-Parity ranks higher than Risk Parity, a 60–40 Balanced portfolio, and an Equity Risk Budget approach, all of which are commonly found multi-asset allocation strategies. This result holds for both volatility-managed and non-volatility-managed strategies.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"122 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127586949","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
ESG Equity Index Investing: Don’t Forget about Factor Exposures ESG股票指数投资:不要忘记因素暴露
The Journal of Beta Investment Strategies Pub Date : 2022-11-30 DOI: 10.3905/jbis.2022.13.4.163
Jan-Carl Plagge, Marvin Ertl, Douglas M. Grim
{"title":"ESG Equity Index Investing: Don’t Forget about Factor Exposures","authors":"Jan-Carl Plagge, Marvin Ertl, Douglas M. Grim","doi":"10.3905/jbis.2022.13.4.163","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.4.163","url":null,"abstract":"We explore the risk and return characteristics of an extensive set of investable index-linked environmental, social, and governance (ESG) equity strategies, including those with a US, European, Asia-Pacific ex. Japan, Japanese as well as global developed and emerging market investment focus from 2013–2021. A style factor–based return decomposition, as well as a Shapley–Owen risk decomposition with a focus on the factors size, value, profitability, investment, and momentum, reveal that the performance of many ESG investment strategies is largely driven by well-known traditional sources of risk. Once we control for these well-known traditional sources of risk, we find only limited evidence for the existence of an independent ESG-related factor in the form of a statistically significant alpha. However, we find variability in the exposure to, and influence of, the factors explored, within and across regions as well as over time. Among style factors, the negative exposure to size is the most common statistically significant fund-level tilt. As a result of our findings, investors should form an opinion not only as to whether they expect a specific ESG index strategy to have a (factor-adjusted) positive or negative alpha, but also whether they expect it to exhibit any persistent factor tilts and whether such tilts may help or hurt long-term absolute performance.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133197009","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
Editor’s Letter 编辑的信
The Journal of Beta Investment Strategies Pub Date : 2022-11-30 DOI: 10.3905/jbis.2022.13.4.001
Brian R. Bruce
{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jbis.2022.13.4.001","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.4.001","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129945181","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 2022 Special Issue on Factor Investing 2022年《要素投资》特刊编者简介
The Journal of Beta Investment Strategies Pub Date : 2022-11-22 DOI: 10.3905/jbis.2022.1.022
Scott Wolle
{"title":"Special Section Editor’s Introduction for 2022 Special Issue on Factor Investing","authors":"Scott Wolle","doi":"10.3905/jbis.2022.1.022","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.022","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-11-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115043717","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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