Factor Exposure: Smart Beta ETFs vs Mutual Funds
|
|
- Felix Jackson
- 5 years ago
- Views:
Transcription
1 Factor Exposure: Smart Beta ETFs vs Mutual Funds August 16, 2018 by Nicolas Rabener of FactorResearch SUMMARY Investors can express factor views via smart beta ETFs or mutual funds Some mutual funds offer higher factor exposure than smart beta ETFs Given higher fees, strong views on expected factor performance are required INTRODUCTION Similar to wind and water eroding the strongest mountains over time, passive fund management has been gradually capturing market share from active managers globally. The recent announcement of Fidelity, which a decade ago represented the symbolic leader of active fund managers, to launch two index funds with zero fees, highlights the dramatic changes in the fund management industry. However, at the same time, some providers of passive products like WisdomTree are enhancing their product suite by adding actively managed ETFs. It seems that both worlds are partially integrating and that active management will continue to play an important role in the future. We previously analysed the factor exposure of smart beta ETFs (please see ETFs, Smart Beta & Factor Exposure) and noted their relatively low exposure to common equity factors. In this short research note we will compare the factor exposure of smart beta ETFs and mutual funds, initially by focusing on the Value factor and then expanding to other common equity factors. METHODOLOGY We focus on six factors namely Value, Momentum, Low Volatility, Quality, Growth and Dividend Yield in the US stock market. The factor performance is calculated by constructing long-short beta-neutral portfolios of the top and bottom 10% of stocks ranked by the factor definitions, which are in line with academic and industry standards. Only stocks with a minimum market capitalisation of $1 billion are included. Portfolios are rebalanced monthly and each transaction incurs costs of 10 basis points. Factor exposure is measured by factor betas derived from a one-year regression analysis utilising daily data and the six equity factors as well as the market as independent variables. Page 1, 2018 Advisor Perspectives, Inc. All rights reserved.
2 SMART BETA VALUE ETFS VS VALUE MUTUAL FUNDS Mutual funds were less popular in recent years as investors became more aware of the perpetual underperformance of funds against their benchmarks. Research such the S&P SPIVA Scorecards highlights that across markets and time periods only a small fraction of active managers outperform their benchmarks, which is typically explained by high fees and a low active share. Although active managers can not compete on fees with ETFs, they do have flexibility in stock selection and portfolio construction as they are not tracking rules-based indices. Naturally this comes with some career risk, but the free lunch of closet indexing is rapidly disappearing. Given that passive fund management is steadily gaining market share, active managers need to differentiate themselves to survive. The chart below compares the exposure of smart beta Value ETFs and Value-focused mutual funds to the long-short Value factor. The metrics shown are the factor betas that represent the sensitivity to the factor, i.e. the closer the beta to 1, the more the ETF or fund approximates the behaviour of the factor. We observe that investors seeking exposure to the Value factor are in general better served with smart beta ETFs as these offer higher factor exposure on average, except when comparing the three ETFs or funds with the highest exposure. It is worth noting that the number of mutual funds with a Value focus vastly exceeds the number of smart beta Value ETFs, therefore these results have to be taken with caution. Source: FactorResearch Page 2, 2018 Advisor Perspectives, Inc. All rights reserved.
3 The analysis might be challenged by arguing that the factor betas of the top three mutual funds are random and not consistently higher than those of smart beta ETFs. The chart below compares the average factor betas of the top three smart beta ETFs and mutual funds from 2015 to We can observe that the factor betas of the smart beta ETFs seem less volatile, which is to be expected given that these follow a systematic portfolio construction process. The factor exposure of the mutual funds has been consistently high, except for the end of 2015, which might indicate style drift and warrants further investigation. Source: FactorResearch Finally, we compare the performance of the same top 3 smart beta Value ETFs and mutual funds, which we benchmark against the Russell We observe similar trends, albeit with meaningful differences in performance. Some ETFs and funds exhibit higher volatility than others, which likely indicates more concentrated portfolios. The significant increase in performance in November 2016 can be attributed to the US election, which led to a change in market sentiment and rally in the Value and Size factors. Page 3, 2018 Advisor Perspectives, Inc. All rights reserved.
4 Source: FactorResearch SMART BETA ETFS VS MUTUAL FUNDS: FACTOR EXPOSURE We expand the analysis to other common equity factors and continue to focus on the top three ETFs and funds. The chart below highlights large differences in exposure across the various factors. It is worth noting that there are relatively few mutual funds focused on Momentum and Low Volatility as these represent quantitative strategies where active managers are less likely to create value. In contrast, there are many funds focused on Value, Growth and Quality as these provide more opportunities for fundamental analysis, which is the core skillset of most active managers. Page 4, 2018 Advisor Perspectives, Inc. All rights reserved.
5 Source: FactorResearch SMART BETA ETFS VS MUTUAL FUNDS: FEES The comparison indicates that the choice between smart beta ETFs and mutual funds somewhat depends on the factor. However, the analysis would be incomplete if we would not highlight the fees for both product families, which are significantly lower for ETFs. Investors can select mutual funds based on high factor exposure, but need to consider the price they are paying for it. Page 5, 2018 Advisor Perspectives, Inc. All rights reserved.
6 Source: FactorResearch FURTHER THOUGHTS This short research note contrasts the factor exposure of smart beta ETFs and mutual funds. Despite active managers being in the defensive in recent years, investors may utilise mutual funds to capture higher exposure to certain factors than with ETFs. However, given the higher costs associated with funds, investors need strong views on the expected factor performance to justify these. FactorResearch Page 6, 2018 Advisor Perspectives, Inc. All rights reserved.
Factors and Interest Rates
Factors and Interest Rates July 11, 2017 by Nicolas Rabener of FactorResearch SUMMARY There are no consistent relationships between Value, Size, Momentum and interest rates Applies to high and low and
More informationFACTOR ALLOCATION MODELS
FACTOR ALLOCATION MODELS Improving Factor Portfolio Efficiency January 2018 Summary: Factor timing and factor risk management are related concepts, but have different objectives Factors have unique characteristics
More informationValue Factor - Improving the Tax Efficiency
Value Factor - Improving the Tax Efficiency April 23, 2018 by Nicolas Rabener of FactorResearch SUMMARY The tax efficiency of the Value factor can be improved by reducing exposure to dividend-yielding
More informationHedging Market Crashes with Factor Exposure
Hedging Market Crashes with Factor Exposure October 17, 2017 by Nicolas Rabener of FactorResearch SUMMARY None of the factors consistently generated positive performance during recent market crashes However,
More informationFactor Investing. Fundamentals for Investors. Not FDIC Insured May Lose Value No Bank Guarantee
Factor Investing Fundamentals for Investors Not FDIC Insured May Lose Value No Bank Guarantee As an investor, you have likely heard a lot about factors in recent years. But factor investing is not new.
More informationINSIGHTS. The Factor Landscape. August rocaton.com. 2017, Rocaton Investment Advisors, LLC
INSIGHTS The Factor Landscape August 2017 203.621.1700 2017, Rocaton Investment Advisors, LLC EXECUTIVE SUMMARY Institutional investors have shown an increased interest in factor investing. Much of the
More informationHow to evaluate factor-based investment strategies
A feature article from our U.S. partners INSIGHTS SEPTEMBER 2018 How to evaluate factor-based investment strategies Due diligence on smart beta strategies should be anything but passive Original publication
More informationMulti-factor investing, demystified: Part 2
Multi-factor investing, demystified: Part 2 November 20, 2018 by Sophie Gilbert of Russell Investments In the world of investing, there s always a buffet of options to choose from, but there s no such
More informationETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO
ETF Research: Understanding Smart Beta KNOW Characteristics: Finding the Right Factors Research compiled by Michael Venuto, CIO In this paper we will explore the evolution of smart beta investing through
More informationSmart Beta Dashboard. Thoughts at a Glance. January By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance 2017 marked another year of factor performance shifts. s comeback in the US on the heels of the US election and the potential for a Trump-flation
More informationGetting Smart About Beta
Getting Smart About Beta December 1, 2015 by Sponsored Content from Invesco Due to its simplicity, market-cap weighting has long been a popular means of calculating the value of market indexes. But as
More informationHarbour Asset Management New Zealand Equity Advanced Beta Fund FAQ S
Harbour Asset Management New Zealand Equity Advanced Beta Fund FAQ S January 2015 ContactUs@harbourasset.co.nz +64 4 460 8309 What is Advanced Beta? The name Advanced Beta is often interchanged with terms
More informationFactor Performance in Emerging Markets
Investment Research Factor Performance in Emerging Markets Taras Ivanenko, CFA, Director, Portfolio Manager/Analyst Alex Lai, CFA, Senior Vice President, Portfolio Manager/Analyst Factors can be defined
More informationUpdate on Perspectives on American Depository Receipts (ADRs) Ron Surz PPCA 949/ June, 2012
Update on Perspectives on American Depository Receipts (ADRs) Ron Surz PPCA 949/488-8339 Ron@PPCA-Inc.com June, 2012 Five years ago I wrote Perspectives on ADRs, describing the characteristics and performance
More informationColumbia Threadneedle Investments Emerging Market Investor Sentiment Survey
Columbia Threadneedle Investments Emerging Market Investor Sentiment Survey Conducted in December 2016 The content of this presentation is presented for general information purposes only. Nothing contained
More informationFlash Note Equity investment strategies
FLASH NOTE Flash Note Equity investment strategies Market leadership of US Value' strengthens considerably in the aftermath of US elections Pictet Wealth Management - Asset Allocation & Macro Research
More informationCHAPTER 17 INVESTMENT MANAGEMENT. by Alistair Byrne, PhD, CFA
CHAPTER 17 INVESTMENT MANAGEMENT by Alistair Byrne, PhD, CFA LEARNING OUTCOMES After completing this chapter, you should be able to do the following: a Describe systematic risk and specific risk; b Describe
More informationINSTITUTIONAL INVESTMENT & FIDUCIARY SERVICES: Investment Basics: Is Active Management Still Worth the Fees? By Joseph N. Stevens, CFA INTRODUCTION
INSTITUTIONAL INVESTMENT & FIDUCIARY SERVICES: Investment Basics: Is Active Management Still Worth the Fees? By Joseph N. Stevens, CFA INTRODUCTION As of December 31, 2014, more than 30% of all US Dollar-based
More informationDiversified Growth Funds (DGF)
Diversified Growth Funds (DGF) Stick or twist April 2017 kpmg.com/uk Diversified Growth Funds (DGF) 2 Executive summary Over the past 10 years Diversified Growth Fund (DGF) investing has grown in popularity,
More informationFACTOR INVESTING: Targeting your investment needs. Seek to enhance returns Manage risk Focused outcomes
FACTOR INVESTING: Targeting your investment needs Seek to enhance returns Manage risk Focused outcomes 1 Table of Contents Introduction What is factor investing? How to use factors in a portfolio Fidelity
More informationSpotlight on: 130/30 strategies. Combining long positions with limited shorting. Exhibit 1: Expanding opportunity. Initial opportunity set
INVESTMENT INSIGHTS Spotlight on: 130/30 strategies Monetizing positive and negative stock views Managers of 130/30 portfolios seek to capture potential returns in two ways: Buying long to purchase a stock
More informationStructured Portfolios: Solving the Problems with Indexing
Structured Portfolios: Solving the Problems with Indexing May 27, 2014 by Larry Swedroe An overwhelming body of evidence demonstrates that the majority of investors would be better off by adopting indexed
More informationTURNER INVESTMENTS COMMENTARY
February 2017 TURNER INVESTMENTS COMMENTARY ETFs: STATE OF THE NATION Hon. Garth Turner PC Financial Advisor 416-346-0086 It s simple: we build client portfolios with only exchange-traded funds (ETFs).
More informationThe Q2 Factor Winner? Small Cap.
The Q2 Factor Winner? Small Cap. July 23, 2018 by Nick Kalivas of Invesco As global risks grow, factor diversification may help investors stay prepared With fears of a trade war looming over global large-cap
More informationFirst Quarter 2018 (as of December 31, 2017) The Factor Report. What s driving factor performance?
First Quarter 2018 (as of December 31, 2017) The Factor Report What s driving factor performance? Table of Contents Page Q4 Summary..................................................................................
More informationSmart Beta Dashboard. Thoughts at a Glance. March By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance For the first two months of Q1, US outperformed the broader market by nearly 5%. However, as 10-year Treasury yields and inflation expectations came
More informationIncorporating Factor Strategies into a Style- Investing Framework
LEADERSHIP SERIES Incorporating Factor Strategies into a Style- Investing Framework Passive investors can gain targeted exposure to value and growth companies with factor strategies. Darby Nielson, CFA
More informationWhat Matters Most. The Case for Active. Risk Management
What Matters Most The Case for Active Risk Management Investors Know Their Priorities The first priority is usually I don t want to lose my money. This would probably explain why risk management featured
More informationEnhancing equity portfolio diversification with fundamentally weighted strategies.
Enhancing equity portfolio diversification with fundamentally weighted strategies. This is the second update to a paper originally published in October, 2014. In this second revision, we have included
More informationThe Benefits of Dynamic Factor Weights
100 Main Street Suite 301 Safety Harbor, FL 34695 TEL (727) 799-3671 (888) 248-8324 FAX (727) 799-1232 The Benefits of Dynamic Factor Weights Douglas W. Case, CFA Anatoly Reznik 3Q 2009 The Benefits of
More informationDiscover the power. of ETFs. Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee
Discover the power of ETFs Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee Discover exchange-traded funds (ETFs) Financial television programs and publications continue to give
More informationSmart Beta: Index Investing, Evolved
Franklin LibertyShares TM Topic Paper November 2017 Smart Beta: Index Investing, Evolved Global investing literally and figuratively is foreign to many US investors. That s why some have taken a passive
More informationResearch Brief. Using ETFs to Outsmart the Cap-Weighted S&P 500. Micah Wakefield, CAIA
Research Brief Using ETFs to Outsmart the Cap-Weighted S&P 500 Micah Wakefield, CAIA 2 USING ETFS TO OUTSMART THE CAP-WEIGHTED S&P 500 ETFs provide investors a wide range of choices to access world markets
More informationAn All-Cap Core Investment Approach
An All-Cap Core Investment Approach A White Paper by Manning & Napier www.manning-napier.com Unless otherwise noted, all figures are based in USD. 1 What is an All-Cap Core Approach An All-Cap Core investment
More informationSmart Beta Dashboard. Thoughts at a Glance. June By the SPDR Americas Research Team
By the SPDR Americas Research Team Thoughts at a Glance Factor performance diverged across regions in Q2. In the US, all factors with the exception of underperformed broad US equities. As volatility in
More informationFundametrics Small Cap Equity Q Performance Summary and Observations
For more on CornerCap s institutional capabilities and past commentaries, click HERE Fundametrics Small Cap Equity Q4 2016 Performance Summary and Observations 4Q 2016 Latest 1 Year Latest 3 Years Latest
More informationU.S. LOW VOLATILITY EQUITY Mandate Search
U.S. LOW VOLATILITY EQUITY Mandate Search Recommended: That State Street Global Advisors (SSgA) be appointed as a manager for a U.S. low volatility equity mandate. SSgA will be managing 10% of the Diversified
More informationNasdaq Chaikin Power US Small Cap Index
Nasdaq Chaikin Power US Small Cap Index A Multi-Factor Approach to Small Cap Introduction Multi-factor investing has become very popular in recent years. The term smart beta has been coined to categorize
More informationPUTW. WisdomTree CBOE S&P 500 PutWrite Strategy Fund
WisdomTree CBOE S&P 500 PutWrite Strategy Fund PUTW The S&P 500 Index (SPX) is one of the most widely followed indexes for U.S. stock market exposure. And many investors have an investment (or two) that
More informationTHE ACTIVE SHARE DEBATE WEBINAR. Presented by John Alexander, CFA Billy Welsh
THE ACTIVE SHARE DEBATE WEBINAR Presented by John Alexander, CFA Billy Welsh Today s Speakers John Alexander, CFA Solutions Specialist evestment Billy Welsh Client Strategist evestment jalexander@evestment.com
More informationLazard Insights. Interpreting Active Share. Summary. Erianna Khusainova, CFA, Senior Vice President, Portfolio Analyst
Lazard Insights Interpreting Share Erianna Khusainova, CFA, Senior Vice President, Portfolio Analyst Summary While the value of active management has been called into question, the aggregate performance
More informationWisdomTree International Multifactor Fund WisdomTree Emerging Markets Multifactor Fund
WisdomTree International Multifactor Fund WisdomTree Emerging Markets Multifactor Fund DWMF/ EMMF THE CASE FOR INTERNATIONAL AND EMERGING MARKETS MULTIFACTOR FUNDS WisdomTree aspires to be at the forefront
More informationDiscover the power. of ETFs. Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee
Discover the power of ETFs Not FDIC Insured May May Lose Lose Value Value No No Bank Bank Guarantee Discover exchange-traded funds (ETFs) Financial television programs and publications continue to give
More informationInflows, indexes, and the future: Trends in active and passive. Key takeaways
August 2017 Inflows, indexes, and the future: Trends in active and passive PANELISTS 1 2 3 Key takeaways We believe global monetary easing has been the primary driver behind the closer stock-to-stock correlations,
More informationGoing Beyond Style Box Investing
Going Beyond Style Box Investing NCPERS Presented by Erin Doyle Orekhov, Client Portfolio Manager May 22, 2017 For financial professional or qualified institutional investor use only. Not for inspection
More informationSeeking higher returns or lower risk through ETFs
Seeking higher returns or lower risk through ETFs BROUGHT TO YOU BY: Contents Seeking higher returns or lower risk through ETFs Factors and the rise of smart beta Reducing risk through smart beta strategies
More informationModest Style Bets, Modest Price
Reprinted by permission of Morningstar, Oct. 21, 2016 Modest Style Bets, Modest Price ETF SPECIALIST 10-21-16 by Alex Bryan, CFA Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF (GSLC) offers exposure
More informationEXPOSURE DRAFT OF GIPS GUIDANCE STATEMENT ON BENCHMARKS
EXPOSURE DRAFT OF GIPS GUIDANCE STATEMENT ON BENCHMARKS Effective Date (expected): 1/1/2019 Public Comment Period: 10/30/2017 1/29/2018 www.gipsstandards.org 2017 CFA Institute. All rights reserved. GUIDANCE
More informationUnderstanding the Equity Summary Score Methodology
Understanding the Equity Summary Score Methodology Provided By Understanding the Equity Summary Score Methodology The Equity Summary Score provides a consolidated view of the ratings from a number of independent
More informationPutting the smart back into beta
Putting the smart back into beta By: Lloyd Raynor, CFA, Associate Director, Pension Solutions Group EXECUTIVE SUMMARY: The use of market capitalisation-weighted indices has been the cornerstone of portfolio
More informationHigh Dividend Value Equity Q Commentary. Market Review:
S C H A F E R C U L L E N High Dividend Value Equity Q3 2016 Commentary Market Review: C A P I T A L M A N A G E M E N T In the third quarter of 2016, the S&P 500 and Russell 1000 Value returned 3.9% and
More informationQUARTERLY MARKET OUTLOOK THIRD QUARTER CLS-7/11/2017
QUARTERLY MARKET OUTLOOK THIRD QUARTER 2017 Contents How did the markets perform? How did CLS portfolios perform? What is CLS thinking moving forward? What is CLS doing with portfolios? CLS Investment
More informationNavigator Global Equity ETF
CCM-17-12-3 As of 12/31/2017 Navigator Global Equity ETF Navigate Global Equity with a Dynamic Approach The world s financial markets offer a variety of growth opportunities, but identifying the right
More informationFactor Investing by ishares
Factor Investing by ishares Smart Beta strategies for the core of your portfolio ICRMH0219U-732979-1/24 Active funds are under pressure Underperformance. High fees. Capital gains distributions. Active
More information+ = Smart Beta 2.0 Bringing clarity to equity smart beta. Drawbacks of Market Cap Indices. A Lesson from History
Benoit Autier Head of Product Management benoit.autier@etfsecurities.com Mike McGlone Head of Research (US) mike.mcglone@etfsecurities.com Alexander Channing Director of Quantitative Investment Strategies
More informationGet active with Vanguard factor ETFs
Get active with Vanguard factor ETFs Factor investing has gained attention in recent years, in part because of the rise of alternatively weighted indexes and smart-beta products. Yet factor investing has
More informationPersistence of Australian Active Funds
RESEARCH Active Versus Passive CONTRIBUTOR Priscilla Luk Senior Director Global Research & Design priscilla.luk@spglobal.com Persistence of Australian Active Funds EXECUTIVE SUMMARY While comparing active
More informationin-depth Invesco Actively Managed Low Volatility Strategies The Case for
Invesco in-depth The Case for Actively Managed Low Volatility Strategies We believe that active LVPs offer the best opportunity to achieve a higher risk-adjusted return over the long term. Donna C. Wilson
More informationDividend Growth as a Defensive Equity Strategy August 24, 2012
Dividend Growth as a Defensive Equity Strategy August 24, 2012 Introduction: The Case for Defensive Equity Strategies Most institutional investment committees meet three to four times per year to review
More informationVideo: GIC Wealth Management Perspectives
GLOBAL INVESTMENT COMMITTEE FEB.8, 2017 Video: GIC Wealth Management Perspectives Video: The Case for Active Management A new video takes a deep dive into the drivers of recent Active Manager underperformance
More informationWisdomTree U.S. High Dividend Index CAD Russell 1000 Value Index (CAD) Russell 1000 Value Index (CAD) 7.36% 11.94%
WisdomTree U.S. High Dividend Strategy HID/HID.B In the past few decades, index-based investment strategies have gained traction for obtaining exposure to broad asset classes. Numerous benefits including
More informationHighly Selective Active Managers, Though Rare, Outperform
INSTITUTIONAL PERSPECTIVES May 018 Highly Selective Active Managers, Though Rare, Outperform Key Takeaways ffresearch shows that highly skilled active managers with high active share, low R and a patient
More informationActive versus passive the debate is over
Active versus passive the debate is over At Tailorednz, we believe a growing body of evidence has moved us past the traditional active vs. passive debate. The best evidence comes from the US where the
More informationAspiriant Risk-Managed Equity Allocation Fund RMEAX Q4 2018
Aspiriant Risk-Managed Equity Allocation Fund Q4 2018 Investment Objective Description The Aspiriant Risk-Managed Equity Allocation Fund ( or the Fund ) seeks to achieve long-term capital appreciation
More informationSTRATEGY OVERVIEW. Long/Short Equity. Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX)
STRATEGY OVERVIEW Long/Short Equity Related Funds: 361 Domestic Long/Short Equity Fund (ADMZX) 361 Global Long/Short Equity Fund (AGAZX) Strategy Thesis The thesis driving 361 s Long/Short Equity strategies
More informationLazard Insights. Distilling the Risks of Smart Beta. Summary. What Is Smart Beta? Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst
Lazard Insights Distilling the Risks of Smart Beta Paul Moghtader, CFA, Managing Director, Portfolio Manager/Analyst Summary Smart beta strategies have become increasingly popular over the past several
More informationBMO Value ETFs Enhanced Access to the Value Factor
BMO Exchange Traded Funds BMO Value ETFs Enhanced Access to the Value Factor BMO Value Index ETF (ZVC) BMO MSCI USA Value Index ETF (ZVU) Defining the Value Factor Value factor investing- the pursuit of
More informationUTILITIES SELECT SECTOR SPDR FUND (XLU)
UTILITIES SELECT SECTOR SPDR FUND (XLU) $53.06 USD Risk: Med Zacks ETF Rank 5 - Strong Sell Fund Type Issuer Benchmark Index Utilities/Infrastructure ETFs STATE STREET GLOBAL ADVISORS UTILITIES SELECT
More informationSmart Beta 2.0: A Disruptive Innovation
Smart Beta 2.0: A Disruptive Innovation October 12, 2015 by Steven Vannelli of GaveKal Capital At the beginning of every major disruptive innovation, fear, uncertainty and doubt reign supreme. Consumers
More informationGlobal Equity Style Premia
For professional investors only Global Equity Style Premia A unique approach to style-based investing Global Equity Style Premia A smarter way to invest in equities; systematically accessing the returns
More informationDynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas
Dynamic Smart Beta Investing Relative Risk Control and Tactical Bets, Making the Most of Smart Betas Koris International June 2014 Emilien Audeguil Research & Development ORIAS n 13000579 (www.orias.fr).
More informationSmart Beta: Why the popularity and what s under the bonnet?
APPLIED FINANCE CENTRE Faculty of Business and Economics Smart Beta: Why the popularity and what s under the bonnet? SLAVA PLATKOV PORTFOLIO MANAGER, DIMENSIONAL FUND ADVISORS Sydney CBD, 27 February 2018
More informationLast week's rating: C Marketperform Percentile Ranking: 53 Data as of 07/06/2018
SCHWAB EQUITY RATING Percentile Ranking: 55 A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91-100 Strongly Underperform SELL PRICE VOLATILITY
More informationDoes Past Performance Matter? The Persistence Scorecard
RESEARCH Active vs. Passive CONTRIBUTORS Aye M. Soe, CFA Managing Director Global Research & Design aye.soe@spglobal.com Ryan Poirier, FRM Senior Analyst Global Research & Design ryan.poirier@spglobal.com
More informationFactor-Based Investing
Aon Hewitt Retirement and Investment Factor-Based Investing Risk. Reinsurance. Human Resources. Factor-Based Investing Summary The right equity portfolio for an investor depends on their risk and return
More informationTax-Managed SMAs: Better Than ETFs?
June 2018 Tax-Managed SMAs: Better Than ETFs? Rey Santodomingo, CFA Managing Director of Investment Strategy Tim Atwill, PhD, CFA Head of Investment Strategy Exchange-traded funds, or ETFs, are popular
More informationThe FRED Report Portfolio Report Card Through 2016
The FRED Report Portfolios The FRED Report The FRED Report Portfolio Report Card Through 2016 Observations, Full-Year 2016 and Inception to Date Large Cap Sector Portfolio o The Large Cap Sector portfolio
More informationFrom Construction to Results: Fundamental Index Investing in the Emerging Markets
From Construction to Results: Fundamental Index Investing in the Emerging Markets BRENT LEADBETTER, CFA About the Author BRENT LEADBETTER, CFA Vice President Client Strategies Brent Leadbetter is a relationship
More informationTower Square Investment Management LLC Strategic Aggressive
Product Type: Multi-Product Portfolio Headquarters: El Segundo, CA Total Staff: 15 Geography Focus: Global Year Founded: 2012 Investment Professionals: 12 Type of Portfolio: Balanced Total AUM: $1,422
More informationA Dramatic Rebound for Small-Caps
A Dramatic Rebound for Small-Caps January 4, 207 by Francis Gannon of The Royce Funds 206 was a terrific year for small-cap stocks that included some key reversals: The Russell 2000 turned around 205's
More informationLast week's rating: C Marketperform Percentile Ranking: 60 Data as of 10/12/2018
SCHWAB EQUITY RATING Percentile Ranking: 61 Data as of 10/19/ A 1-10 Strongly Outperform BUY B 11-30 Outperform C 31-70 Marketperform D 71-90 Underperform BUY HOLD SELL F 91- Strongly Underperform SELL
More informationFactor Investing: 2018 Landscape
Factor Investing: 2018 Landscape Growth expected to continue The factor investing landscape has proliferated in recent years. Today, the factor industry is $1.9 trillion in AUM and has grown organically
More informationIdentifying a defensive strategy
In our previous paper Defensive equity: A defensive strategy to Canadian equity investing, we discussed the merits of employing a defensive mandate within the Canadian equity portfolio for some institutional
More informationDelta Factors. Glossary
Delta Factors Understanding Investment Performance Behaviour Glossary October 2015 Table of Contents Background... 3 Asset Class Benchmarks used... 4 Methodology... 5 Glossary... 6 Single Factors... 6
More informationline of Sight Customised Beta Changing Perspectives on Passive Investing Asian Edition
line of Sight Customised Changing Perspectives on Passive Investing Asian Edition We hope you enjoy the latest presentation from Northern Trust s Line of Sight. By providing research, findings, analysis
More informationTactical Growth ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Growth ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2017 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
More informationSmart Beta and the Evolution of Factor-Based Investing
Smart Beta and the Evolution of Factor-Based Investing September 2016 Donald J. Hohman Managing Director, Product Management Hitesh C. Patel, Ph.D Managing Director Structured Equity Douglas J. Roman,
More informationTranslating Factors to International Markets
LEADERSHIP SERIES Translating Factors to International Markets Strategies that combine the potential diversification benefits of international exposure with the portfolio-enhancing benefits of factors
More informationCONSULTANT BRIEFING. New York City April 20, Chris Riley, Aon Hewitt John Molesphini, evestment Jerrod Stoller, evestment
CONSULTANT BRIEFING New York City April 20, 2017 Chris Riley, Aon Hewitt John Molesphini, evestment Jerrod Stoller, evestment Fee Pressure Low Yield 2016 BREXIT Market Volatility Active vs. Passive Presidential
More informationETFs. Multifactor Investing. Seeking to build a better index
ETFs Multifactor Investing Seeking to build a better index Three things to know about active and passive investing 1 Active investing has advantages, but requires both skill and discipline The premise
More informationTactical Income ETF. Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM NORTHCOASTAM. COM
Tactical Income ETF Investor Presentation N ORTHC OAST I NVESTMENT A DVISORY T EAM 203.532.7000 INFO@ NORTHCOASTAM. COM NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment
More informationUnderstanding Smart Beta Returns
Understanding Smart Beta Returns October 2018 In this paper, we use a performance analysis framework to analyze Smart Beta strategies against their benchmark. We apply it to Minimum Variance Strategies
More informationNavigator Fixed Income Total Return (ETF)
CCM-17-09-1 As of 9/30/2017 Navigator Fixed Income Total Return (ETF) Navigate Fixed Income with a Tactical Approach With yields hovering at historic lows, bond portfolios could decline if interest rates
More informationLazard Asset Management Factor Report NOV Factor Returns¹ (%)
Lazard Asset Management Factor Report NOV 8 October lived up to its notorious reputation as the global equity markets suffered through their worst month in over seven years as every developed market declined
More informationPerformance Attribution: Are Sector Fund Managers Superior Stock Selectors?
Performance Attribution: Are Sector Fund Managers Superior Stock Selectors? Nicholas Scala December 2010 Abstract: Do equity sector fund managers outperform diversified equity fund managers? This paper
More informationSpecialist International Share Fund
Specialist International Share Fund Manager Profile January 2016 Adviser use only Specialist International Share Fund process process for this Fund is structured in the following steps: Step 1 Objectives:
More informationTable of Contents. Section I: Executive Summary Section II: Introduction and Methodology... 13
Table of Contents Section I: Executive Summary... 8 Section II: Introduction and Methodology... 13 Section III: How Advisors Approach Portfolio Construction... 16 A. How do advisors make investment decisions?...
More information3 questions you need to answer when choosing factor-based products
3 questions you need to answer when choosing factor-based products March 5, 2018 by Vanguard Advisors are interested in using factors. But it takes a lot of due diligence to choose among the many products
More informationAre You Smarter Than a Monkey? Course Syllabus. How Are Our Stocks Doing? 9/30/2017
Are You Smarter Than a Monkey? Course Syllabus 1 2 3 4 5 6 7 8 Human Psychology with Investing / Indices and Exchanges Behavioral Finance / Stocks vs Mutual Funds vs ETFs / Introduction to Technology Analysis
More information