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1 Is smart beta really that smart, inexpensive and good for investors? Dr. Andreas Sauer, CFA Munich, September 2015 passion for total return
2 The source of beta and is there really dumb" beta? origins of beta in the CAPM beta in its original meaning measures sensitivity of an asset or portfolio to the market portfolio market portfolio: aggregate portfolio of all assets = aggregate portfolio of all investors must hold each asset in proportion to its market capitalization earns systematic risk premium the average investor is not dumb issues with market cap weighted portfolios as benchmark are well known: empirically inefficent allocation of capital along size of a company size measured by price x number of stocks (c) ansa capital management
3 The origins and evolvement of smart beta compared to the market portfolio all "smart beta" strategies differ in two dimensions: stock selection and stock weighting supposed to be smart because they are build on for decades well known anomalies low- vol anomaly: Haugen (1972) firm size effect: Banz (1981) value effect: Basu (1977) momentum: Jegadeesh/Titman (1993) and of course Fama/French (1992) triumph of quants: active quant equity has always been smart beta investing (c) ansa capital management
4 Why so much excitement now? anomalies are know for decades low volatility equity strategies attractive after the financial crisis disappointment with traditional managers advances in computer and data technology: everyone can become a quant measuring factor exposure for performance evaluation has become industry standard (what is true alpha?) perfect naming promise of cheap, easy and transparent access to quant strategies and factor exposure (c) ansa capital management
5 US equity factors: rolling 5- year t- stats !2! BAB SMB HML UMD source of raw data: sets (c) ansa capital management
6 US equity factors: rolling 5- year t- stats !2! BAB SMB HML UMD source of raw data: sets (c) ansa capital management
7 Smart beta as a blend of active and passive? genuine smart beta is a highly active and sophisticated portfolio strategy how is Value/Growth/Quality measured? risk model in low volatility strategies rebalancing interval smart beta ETFs are not a "blend" of active and passive passive: easy to replicate transparent for everyone no discretion, clear rules as an index (and ETF) smart beta strategies need to be heavily constrained (c) ansa capital management
8 Smart beta not cheap anymore STOXX Global 1800 Minimum Variance Unconstrained STOXX Global 1800 STOXX Global Total Market Gross dividend yield 2) 2.8% 2.3% 2.2% Price/earnings (trailing) 3) Price/earnings (projected) 3) Price/book Price/sales Price/cash flow Beta (3y) vs STOXX Global y volatility 8.5% 13.7% 13.2% 3y Sharpe ratio 2) Maximum drawdown 3) 8.3% 21.8% 22.9% source: STOXX (c) ansa capital management
9 Smart beta performance 250% cum.+ outperformance+ vs.+global NR+EURO 200% 150% 100% 50% 0%!50% Juni+03 Juni+04 Juni+05 Juni+06 Juni+07 Juni+08 Juni+09 Juni+10 Juni+11 Juni+12 Juni+13 Juni+14 Juni+15 Global+1800+MinVar+unconstrained+NR+EURO Global+3000+Small++NR+EURO Global+Strong+Quality+50+NR+EURO STOXX +Global+Select+Dividend+100+NR+EURO source: STOXX (c) ansa capital management
10 Summary moving away from market cap weighting makes a lot of sense it will still be more important to decide when to invest in what beta than the decision between smart and dumb beta factor investing : be aware of the difference between risk premia and systematic risk premia NEVER buy smart beta because of historical outperformance beating the market is not easy (it looks easier on paper ) the average investor is not dumb (c) ansa capital management
11 Conclusion Is smart beta really that smart inexpensive and good for investors (c) ansa capital management
12 Contact Dr. Andreas Sauer, CFA ansa capital management GmbH Hochstraße Bensheim Germany T info@ansa.de (c) ansa capital management
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