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Assessing the True Cost of Strategic-Beta ETFs 评估策略贝塔etf的真实成本
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.035
Ben Johnson, Hortense Bioy, D. Boyadzhiev
{"title":"Assessing the True Cost of Strategic-Beta ETFs","authors":"Ben Johnson, Hortense Bioy, D. Boyadzhiev","doi":"10.3905/jii.2016.7.1.035","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.035","url":null,"abstract":"The report examines the differences in costs between strategic-beta (smart beta) exchange-traded funds (ETFs) and their more ordinary passive peers. Cost is an important consideration that isn’t always at the forefront of investors’ minds when selecting strategic-beta funds. The study assesses differences in fees, replication costs, and trading costs for a selection of European-domiciled, strategic-beta ETFs and market-cap-weighted ETFs linked to some of the most widely used broad equity benchmarks, including the S&P 500, MSCI World, and MSCI Emerging Markets indexes. The authors find a wide disparity in the fees charged by strategic-beta funds and that their total cost of ownership is, on average, significantly higher.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"35 - 48"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.035","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089493","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: 8
What Is in Your Smart Beta Portfolio? A Fundamental and Macroeconomic Analysis 你的Smart Beta投资组合里有什么?基本面和宏观经济分析
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.049
Daniel Ung, P. Luk
{"title":"What Is in Your Smart Beta Portfolio? A Fundamental and Macroeconomic Analysis","authors":"Daniel Ung, P. Luk","doi":"10.3905/jii.2016.7.1.049","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.049","url":null,"abstract":"With smart beta becoming increasingly popular, a swath of strategies have been designed to provide access to a wide array of return-enhancing risk in the marketplace. Many strategies claim to provide access to the same factors, and one might reasonably expect that they would be similar. Yet the ways they are constructed can vary widely. Seemingly small distinctions in index construction can lead to portfolios that have differential drivers of risk and return and unequal exposures to factor and sector biases. They can likewise have an effect on the macroeconomic environments in which the portfolios perform, which is particularly important in multifactor portfolios where a number of factors are blended. This article reviews some typical strategies that seek to track common factors (i.e., volatility, momentum, quality, growth, value, dividend yield, and size) in the U.S. market in order to better understand the characteristics of these strategies, from both a fundamental and a macroeconomic perspective. The same analysis is then extended to a multifactor portfolio.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"49 - 77"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.049","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089847","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: 10
Incorporating Smart Beta into Portfolios: A Case Study with the Volatility Risk Premium 将智能贝塔纳入投资组合:波动性风险溢价的案例研究
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.017
Weili Ge
{"title":"Incorporating Smart Beta into Portfolios: A Case Study with the Volatility Risk Premium","authors":"Weili Ge","doi":"10.3905/jii.2016.7.1.017","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.017","url":null,"abstract":"As the latest addition to the basic equity smart beta factors, the volatility risk premium (VRP) has become an attractive potential source of additional returns for investors. The VRP is generally defined as the difference between the implied volatility of options and the subsequently realized volatility. However, few VRP-based investment products are available that both deliver consistent returns and are low cost. The focus of this article is how investors can incorporate the VRP into typical portfolios, exemplified by a balanced 60/40 portfolio and an equal-weight, multi-asset diversified portfolio. The article explores two different methods, the dedicated VRP construct (long only) and the overlay VRP construct (long–short) and concludes that both methods can potentially enhance investors’ portfolio returns without significantly altering the portfolio’s risk profile because the VRP is an attractive and traditionally untapped source of returns that has exhibited low correlations with traditional risk premiums. The conclusions drawn in the article may be applicable to the task of incorporating other smart beta factors into portfolios.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"17 - 24"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.017","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089456","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: 6
The Last Smart Beta Paper You’ll Ever (Have to) Read: Nuggets of Hope beneath the Hype 你将(不得不)读的最后一篇聪明的测试版论文:炒作背后的希望
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.116
A. Berger, Conor Mccarthy
{"title":"The Last Smart Beta Paper You’ll Ever (Have to) Read: Nuggets of Hope beneath the Hype","authors":"A. Berger, Conor Mccarthy","doi":"10.3905/jii.2016.7.1.116","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.116","url":null,"abstract":"The hype surrounding smart beta is drowning out valuable insights for improving investment outcomes. The core idea of smart beta—that factors independent of market direction are sources of sustainable and diversifying returns—is foremost among those insights. Unfortunately, the key selling points of most smart beta products—simplicity, transparency, and static implementation—actually make factor-based investing less effective. Smart beta also tends to be long only, equity focused, and single factor. The most promising forms of factor-based investing move beyond one or more of these constraints. In this article, the authors offer a “buyer’s guide” for linking factor-driven strategies to investors’ long-term objectives—one that may not mean “buying” any of the products on offer today.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"116 - 123"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.116","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089919","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: 4
Commentary: Aligning Strategies with Benchmarks 评论:调整战略与基准
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/JII.2016.7.1.008
David M. Blitzer
{"title":"Commentary: Aligning Strategies with Benchmarks","authors":"David M. Blitzer","doi":"10.3905/JII.2016.7.1.008","DOIUrl":"https://doi.org/10.3905/JII.2016.7.1.008","url":null,"abstract":"Investment strategies divide into one of two groups: value/fundamental or growth/momentum. The first group searches for securities with attributes that the investor believes will lead to outperformance. The second seeks recent outperformance that the investor expects will continue. The article questions whether a market-capitalization-weighted index is the most appropriate benchmark for both momentum and value strategies.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"8 - 9"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/JII.2016.7.1.008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089404","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
Investors Care about the Purity of Factor Indexes: A Reply 投资者关心因子指标的纯度:答
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.014
Michael R. Hunstad, Jordan Dekhayser
{"title":"Investors Care about the Purity of Factor Indexes: A Reply","authors":"Michael R. Hunstad, Jordan Dekhayser","doi":"10.3905/jii.2016.7.1.014","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.014","url":null,"abstract":"In “Who Cares about Purity of Factor Indexes?” Amenc and Goltz (JII, Summer 2016) question the relevance of the factor efficiency ratio and the ultimate need for efficiency in factor index construction. This comment is intended to address their issues. So, “Who cares about purity of factor indexes?” Any investor that has to choose among the growing number of smart beta indexes should certainly care.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"14 - 16"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.014","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089442","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
Who Cares about Purity of Factor Indexes? A Comment on “Evaluating the Efficiency of ‘Smart Beta’ Indexes” 谁在乎因子指标的纯度?评《“智能贝塔”指标的效率评价》
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.010
N. Amenc, Felix Goltz
{"title":"Who Cares about Purity of Factor Indexes? A Comment on “Evaluating the Efficiency of ‘Smart Beta’ Indexes”","authors":"N. Amenc, Felix Goltz","doi":"10.3905/jii.2016.7.1.010","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.010","url":null,"abstract":"A recent article by Hunstad and Dekhayser (JII, Summer 2015) introduced a novel measure of factor “purity”—the factor efficiency ratio—and concluded that the indexes analyzed “were generally unable to provide desired factor exposures without taking on substantial unintended exposures” and that indexes are not “pure” in their delivery of intended factor exposures. This note points out several questions regarding the relevance of factor efficiency ratios and similar assessments of purity of factor indexes.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"10 - 13"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.010","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089431","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: 3
Editor’s Letter 编辑的信
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.001
Brian R. Bruce
{"title":"Editor’s Letter","authors":"Brian R. Bruce","doi":"10.3905/jii.2016.7.1.001","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.001","url":null,"abstract":"","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"29 1","pages":"1"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.001","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089358","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 Exposure of Alternative Beta Strategiesacross Market Regimes 不同市场制度下另类贝塔策略的因素暴露
Journal of Index Investing Pub Date : 2016-05-31 DOI: 10.3905/jii.2016.7.1.078
C. Franco, B. Monnier, K. Rulik
{"title":"Factor Exposure of Alternative Beta Strategiesacross Market Regimes","authors":"C. Franco, B. Monnier, K. Rulik","doi":"10.3905/jii.2016.7.1.078","DOIUrl":"https://doi.org/10.3905/jii.2016.7.1.078","url":null,"abstract":"The authors study the time-dependent relationship between alternative beta strategies and the Fama–French factors. It is widely believed that the excess performance of alternative beta strategies can be explained by their exposure to well-known pricing factors, such as size and value. Nevertheless, there is still a limited understanding of the dynamics of the relationship between the strategies and the risk factors in different market regimes. The authors estimate a four-regime, Markov switching model on a dataset that includes the returns of a market portfolio, value and size factors, and two alternative beta strategies (equal weight and minimum variance). A three-factor model, conditional on regimes, shows that the factor exposures of the strategies change significantly across regimes, indicating that alternative beta strategies might not offer static exposure to risk factors over time.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"7 1","pages":"78 - 91"},"PeriodicalIF":0.0,"publicationDate":"2016-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.7.1.078","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089880","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
Fossil-Free Investing 环保投资铺平道路
Journal of Index Investing Pub Date : 2016-02-29 DOI: 10.3905/jii.2016.6.4.129
Jennifer Sireklove
{"title":"Fossil-Free Investing","authors":"Jennifer Sireklove","doi":"10.3905/jii.2016.6.4.129","DOIUrl":"https://doi.org/10.3905/jii.2016.6.4.129","url":null,"abstract":"This article describes the performance impact of a fossil fuel reserve or energy sector screen on an S&P 500 Index–based portfolio. We find that although the average return and volatility of a screened portfolio are not meaningfully different from the Index over the long run, in the short run, performance differences can be quite notable. Fossil-free investors should be prepared to incur significant tracking error from such a strategy.","PeriodicalId":36431,"journal":{"name":"Journal of Index Investing","volume":"6 1","pages":"129 - 133"},"PeriodicalIF":0.0,"publicationDate":"2016-02-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.3905/jii.2016.6.4.129","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70089346","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
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