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Redefining Growth: Using Analyst Forecasts to Transcend the Value–Growth Dichotomy (Part 1) 重新定义增长:利用分析师预测超越价值-增长二分法(第一部分)
The Journal of Beta Investment Strategies Pub Date : 2022-10-26 DOI: 10.3905/jbis.2022.1.019
Ross French
{"title":"Redefining Growth: Using Analyst Forecasts to Transcend the Value–Growth Dichotomy (Part 1)","authors":"Ross French","doi":"10.3905/jbis.2022.1.019","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.019","url":null,"abstract":"Asset pricing literature typically labels stocks with high price multiples as growth and stocks with low price multiples as value. This definition is accompanied by the view that, over the long term, value outperforms growth and encourages investors to make a binary choice between the two styles. In this first of two articles, we seek to find an alternative definition of growth and, to this end, evaluate the efficacy of a range of metrics at predicting future earnings growth. We conclude that analysts’ forecasts have a stronger relationship with future earnings growth than price multiples do. In addition to this main observation, we find that profitability and historical earnings growth have a negative relationship with future earnings growth, thus challenging the notion that these metrics are useful for identifying growth stocks.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125140818","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
Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting Decades 价值失去的十年:从价值策略的行为中学习两个截然不同的十年
The Journal of Beta Investment Strategies Pub Date : 2022-10-25 DOI: 10.3905/jbis.2022.1.020
Mehdi Alighanbari, Arihant Jain, Saurabh Katiyar, Waman Virgaonkar
{"title":"Value’s Lost Decade: Learning from Value Strategies’ Behavior over Two Contrasting Decades","authors":"Mehdi Alighanbari, Arihant Jain, Saurabh Katiyar, Waman Virgaonkar","doi":"10.3905/jbis.2022.1.020","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.020","url":null,"abstract":"After more than a decade of unattractive performance and “neglect,” value strategies became a favorite in 2021 and remained so in early 2022. Whether this trend lasts, and if so, for how long are important questions to ask. This article, however, does not try to answer them. Instead, its purpose is to dig into the performance of value strategies to understand what affected performance and what caused the prolonged period of value’s underperformance. Although the tide may have turned for value, there is a useful lesson to be learned from value’s behavior over this period. The authors dissect the performance of a value strategy into its contributors for each of the past two decades to understand what caused the strategy to outperform in one decade and underperform the next.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128190769","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
Factor Investing: From Theory to Practice 要素投资:从理论到实践
The Journal of Beta Investment Strategies Pub Date : 2022-10-19 DOI: 10.3905/jbis.2022.1.016
Tarun Gupta, Jay H Raol, V. Roscovan
{"title":"Factor Investing: From Theory to Practice","authors":"Tarun Gupta, Jay H Raol, V. Roscovan","doi":"10.3905/jbis.2022.1.016","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.016","url":null,"abstract":"Although factor investing has become an industry standard, the debate over which factors drive the risk and return of various asset classes across the globe is ongoing. The literature documents more than 400 of such factors claiming to deliver an attractive risk and return trade-off. Although promising, this research also imposes a heavy burden on practitioners who seek to identify the true factors that can help generate ongoing investment returns in excess of benchmarks. Modern multiple-testing techniques proposed by academics typically fall under traditional hypothesis testing and can generally be summarized as imposing more-stringent statistical thresholds for factor premiums to satisfy. In addition, such statistical techniques may ignore prior economic beliefs that investors might have that are important for the optimal design of investment strategies. This article proposes a parsimonious yet rigorous paradigm for practitioners to determine factor existence by focusing on economic theory alongside robust empirical evidence and incorporating real-world implementation considerations. The main goal of the framework is to guide practitioners in factor selection while designing investment strategies that can maximize the probability of generating ongoing investment performance. The authors apply this framework for value, momentum, quality, low-volatility, and size factors in equity and fixed-income markets across the globe. They find compelling evidence for value, momentum, quality, and low-volatility factors, but not the size factor. Their framework can be readily extended to evaluate broad factor categories across different asset classes, alternative factor signals, or additional investment constraints.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"140 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133611449","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
When Smart Beta Meets Machine Learning and Portfolio Optimization 当智能Beta遇到机器学习和投资组合优化
The Journal of Beta Investment Strategies Pub Date : 2022-10-08 DOI: 10.3905/jbis.2022.1.015
J. Hsu, Xiaoyang Liu, V. Viswanathan, Yingfan Xia
{"title":"When Smart Beta Meets Machine Learning and Portfolio Optimization","authors":"J. Hsu, Xiaoyang Liu, V. Viswanathan, Yingfan Xia","doi":"10.3905/jbis.2022.1.015","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.015","url":null,"abstract":"Smart beta products using common factors like value, low volatility, quality, and small cap experienced an underwhelming performance from 2005–2022. On average, long-only factor portfolios built from a wider set of global factors identified in the finance literature generated significantly positive excess returns across countries, suggesting diversifying across many factors is more prudent than selecting a handful that have performed the best. Moreover, long-only portfolios built from expected returns fit to these 87 factors using linear ridge and nonlinear machine learning models like gradient boosting generated larger and more statistically significant excess returns in nearly all countries. A long-only portfolio optimized to maximize return given an aversion to tracking error delivered yet higher excess returns and information ratios across countries. Taken together, these results provide strong evidence against the claim that most of the documented factors are datamined and without investment merit.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-10-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123904880","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
Measuring Sector Cyclicality: A Factor-Based Approach 衡量行业周期性:基于因素的方法
The Journal of Beta Investment Strategies Pub Date : 2022-09-24 DOI: 10.3905/jbis.2022.1.014
Alessio de Longis, Daniel Zanin, Dianne Ellis
{"title":"Measuring Sector Cyclicality: A Factor-Based Approach","authors":"Alessio de Longis, Daniel Zanin, Dianne Ellis","doi":"10.3905/jbis.2022.1.014","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.014","url":null,"abstract":"Equity sectors are often ascribed static economic classifications that fail to consider their dynamic and time-varying fundamental characteristics across business cycles. Leveraging research findings on factor cyclicality, the authors propose a simple and practical methodology to categorize sectors as cyclical or defensive by estimating their sensitivity to a cyclical multifactor portfolio. Their results reveal that although some sectors have exhibited persistent cyclical or defensive features, most sectors have experienced noteworthy changes over time. Using a predictive business cycle regime framework, they document the effectiveness of this dynamic factor-based sector classification approach and provide examples of sector rotation strategies that have historically generated attractive excess returns, outperforming static alternatives. Their results are consistent with a factor investing paradigm, recognizing that factors are important drivers of portfolio risk and performance, and traditional asset classes can be seen as implementation vehicles of intended factor and macro exposures.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133398361","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 : 2022-08-31 DOI: 10.3905/jbis.2022.13.3.001
Brian R. Bruce
{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jbis.2022.13.3.001","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.3.001","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124680963","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
35-Year Performance Analysis of Cboe S&P 500 Option-Selling Indices 芝加哥期权交易所标准普尔500期权卖出指数35年表现分析
The Journal of Beta Investment Strategies Pub Date : 2022-08-22 DOI: 10.3905/jbis.2022.1.013
Keith H. Black, E. Szado
{"title":"35-Year Performance Analysis of Cboe S&P 500 Option-Selling Indices","authors":"Keith H. Black, E. Szado","doi":"10.3905/jbis.2022.1.013","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.013","url":null,"abstract":"This article considers a number of Chicago Board Options Exchange (Cboe) Standard and Poor’s (S&P) 500 option-writing benchmark indices to provide insight into the potential performance of some typical option-writing strategies. In particular, the article discusses covered calls, put writing, covered combos, and butterfly spreads and condors. All six of the Cboe option-writing indices generated positive alpha over the period of study spanning more than a third of a century. Option writing is generally expected to generate abnormal returns by collecting significant premium income. On average, if options are sold at implied volatilities above the subsequently realized volatility, the strategies should generate positive alpha. However, this alpha may not represent true risk-adjusted performance but rather risk premium compensation for taking on short volatility risk. The strategies underlying these indices may be of interest to equity market investors that are willing to sacrifice some potential upside while assuming short volatility risk, in exchange for risk reduction, income enhancement, or both.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130142765","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
Inflation-Friendly Equity Indices: How to Protect against Rising Inflation in Equity Portfolios? 通胀友好型股票指数:如何在股票投资组合中防范通胀上升?
The Journal of Beta Investment Strategies Pub Date : 2022-07-30 DOI: 10.3905/jbis.2022.1.012
Daniel Aguet, Dimitris Korovilas
{"title":"Inflation-Friendly Equity Indices: How to Protect against Rising Inflation in Equity Portfolios?","authors":"Daniel Aguet, Dimitris Korovilas","doi":"10.3905/jbis.2022.1.012","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.012","url":null,"abstract":"This article proposes a method to construct inflation-friendly equity strategies that offer protection against inflation surprises. Such strategies offer stronger and more consistent inflation exposures than commonly used off-the-shelf ingredients, such as sector or style factor portfolios. We rely on firm-level measures of inflation exposures that improve robustness when compared with standard estimation approaches. We show how to construct these inflation-friendly equity strategies and how they can be designed as a replacement of cap-weighted benchmarks in long-term strategic allocations or for tactical allocations. Furthermore, we illustrate the benefits of such strategies for investors, presenting two concrete investment cases.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122101903","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
Leveraged ETF Option Barbells 杠杆ETF期权杠铃
The Journal of Beta Investment Strategies Pub Date : 2022-07-23 DOI: 10.3905/jbis.2022.1.011
W. Trainor, Eliza B. Wampler
{"title":"Leveraged ETF Option Barbells","authors":"W. Trainor, Eliza B. Wampler","doi":"10.3905/jbis.2022.1.011","DOIUrl":"https://doi.org/10.3905/jbis.2022.1.011","url":null,"abstract":"This article compares how Standard & Poor’s (S&P) 500 and Nasdaq-100 barbell strategies invested primarily in fixed income assets and in-the-money call options on the underlying index (or their 2x and 3x leveraged counterparts) achieve a significant percentage of upside appreciation while reducing downside risk. From 2010 to 2022, a barbell strategy composed of 88% 7 to 10-year Treasury bonds and 12% 0.7 delta 6-month call options on the underlying index achieves more than 81% of the geometric annual return of the index while reducing major losses by 21% to 52%, as exemplified by the market declines in the last quarter of 2018 and the 2020 COVID-19 crash. Using call options on the 2x or 3x LETF performs marginally worse than simply using options on the index and only gives a 32% to 47% participation rate of the underlying LETF returns. However, the outlined 88/12 barbell strategy is exposed to interest rate risk, and in the 10 months ending June 30, 2022, the 88/12 barbells lost −16% or more as the options lost more than 90% of their value while treasuries declined −10.4%.","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121670754","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 : 2022-05-19 DOI: 10.3905/jbis.2022.13.2.001
Brian R. Bruce
{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jbis.2022.13.2.001","DOIUrl":"https://doi.org/10.3905/jbis.2022.13.2.001","url":null,"abstract":"","PeriodicalId":284314,"journal":{"name":"The Journal of Beta Investment Strategies","volume":"2003 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127319385","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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