Tag Archives: alternate beta
Finding a Factor Fit
How can three decades of factor index performance history help investors make more informed decisions and measure the effectiveness of active managers? Join S&P DJI’s Craig Lazzara and Anu Ganti for a closer look at factor performance across a range of market environments. Learn more: https://www.spglobal.com/spdji/en/research/article/factor-indices-a-simple-compendium/
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2022, Active, Active vs. Passive, alternative beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, high beta, Index Investment Strategy, low volatility, momentum, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. Equities
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- 2022, Active, Active vs. Passive, alternative beta, Anu Ganti, beta, Core Factor PM, Core Factors, Craig Lazzara, dividend growth, Factor, high beta, Index Investment Strategy, low volatility, momentum, Passive, quality, risk management, Risk Premia, S&P 500 Factors, S&P Dow Jones Indices, SPIVA, U.S. Equities
Practical Considerations for Implementing Alternate Beta Strategies
Recent financial crises have exposed the shortcomings of the traditional approach to asset allocation and have led an emerging shift, especially among institutional investors, towards dynamic asset allocation, hinged on the diversification across risk factors. While there are numerous research papers that explore this topic, they tend to be theoretical and it is for this…
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Quality: A Distinct Equity Factor?
Size, momentum, volatility and value have all been shown to be partly responsible for explaining equity returns over the long run but they do not seem to fully capture the returns of some companies. This has therefore given credence to the idea that a fifth factor – quality – exists and, when combined with other…
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Alternative Futures: Fund Management and Indexing
In the last two weeks two mainstays of the British and global business press – The Economist and the Financial Times have argued strongly that indexing as an investment approach will overtake active management. The Economist (articles here and here) and the FT in its FTfm section on fund management (here and here) point to the lower fees typically…
- Categories Blitzer's Insights, Equities, Fixed Income, Strategy
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Defining a fast growing investment trend: ‘Smart Beta’
If finance were high fashion, ‘smart beta ETFs’ would be the showcase of this year’s Spring collection. They are receiving a lot of press attention and surveys of institutional investors show that they plan to increase their adoption of smart beta ETFs. In this article, we answer the question: What specifically are smart beta ETFs…
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Incorporating Smart Beta Strategies in Asset Allocation
It is now a well-established trend that institutional investors are allocating to smart beta / risk premia strategies. In a recent survey of 300 institutional investors, 42% of the investors say they have committed a portion of their portfolios to smart beta, while a further 24% say they intend to do so in the future….
- Categories Equities, S&P 500 & DJIA
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- Equities, S&P 500 & DJIA
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Taking Risk and Making Money
My colleagues, Daniel Ung and Xiaowei Kang, recently published an article on alternative commodity strategies. Below is an intro and some highlights: “Ever since the publication of Professor Harry Markowitz’s work in 1952, modern portfolio theory has been one of the cornerstones of asset allocation and portfolio construction. Until recently, the principal building blocks used to…
- Categories Commodities, Strategy, Uncategorized
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- Commodities, Strategy, Uncategorized
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Blurred Lines: Institutional Adoption of Alternative Beta
Over the recent years, the traditional divide between passive and active management has become increasingly blurred. In particular, institutional investors have shown growing interests in so call “alternative beta” or “smart beta” strategies that aim to deliver better risk adjusted performance than the market by taking active bets on systematic risk factors, while retaining the…
- Categories Equities, S&P 500 & DJIA
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- Equities, S&P 500 & DJIA
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Beta, Smart and Dumb
The idea of “smart beta” is gaining increased acceptance, although not without some controversy. I have to confess that I really dislike the term “smart beta,” and not just because I didn’t invent it. “Alternative beta” I can live with, or “factor” indices, or “strategy” indices — but “smart” beta leaves me cold. Which is…
Index Rehab: Is Backwardation Back In-Style?
My colleague, David Blitzer, is discussing index construction in his blog series “Inside the S&P 500”, and so far has reviewed selecting stocks and the float adjustment. While the index construction principles of transparency, liquidity, and systematic rules-based methodologies are widely similar between equities, commodities and other asset classes, there are details that distinguish the asset…
- Categories Blitzer's Insights, Commodities, Equities, Fixed Income, S&P 500 & DJIA, Strategy
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