Some of the investment industry’s best thinkers discussed their work at a Research Affiliates meeting. Jason Hsu’s report emphasizes that factor-based investing is incomplete unless it’s paired with an asset-based approach.
The excess return earned by the average investor in value mutual funds was meaningfully negative over a 23-year period when the funds themselves outperformed the market. Why don’t all value investors benefit from the value premium?
Beyond the debate over definitions, smart beta strategies can be the prime alternative to active management for our times just as cap-weighted index funds served so admirably in that role for the past four decades.
The publish-or-perish syndrome and the smart beta movement have motivated academics and practitioners to come up with a spate of new factors. How can investors determine which ones are legitimate and how to use them in their equity portfolios?
Investors devote significant resources to deciding whether a manager is skillful. When it comes to passive investing, they appear to lose their critical faculties.
It’s not merely interesting that the value premium tends to revert toward the long-term average; it’s strategically consequential, too.
Value investing is uncomfortable because it goes against our genetic programming; on our evolutionary path, fear and greed probably served to keep us safe.
Many investors piled on the equity bandwagon this year, pushing prices up to dizzying heights. With current yields for U.S. equities at record lows, is it time to get off the bandwagon?
Fundamentals-weighted index investing extracts the value premium through contrarian rebalancing in a diversified core portfolio.
The conventional ex-post risk measures of tracking error and the information ratio must be reinterpreted for Smart Beta strategies.