Important legal information

The content displayed on this website is exclusively directed at qualified investors, as defined in the swiss collective investment schemes act of 23 june 2006 ("cisa") and its implementing ordinance, or at “independent asset managers” which meet additional requirements as set out below. Qualified investors are in particular regulated financial intermediaries such as banks, securities dealers, fund management companies and asset managers of collective investment schemes and central banks, regulated insurance companies, public entities and retirement benefits institutions with professional treasury or companies with professional treasury.

The contents, however, are not intended for non-qualified investors. By clicking "I agree" below, you confirm and acknowledge that you act in your capacity as qualified investor pursuant to CISA or as an “independent asset manager” who meets the additional requirements set out hereafter. In the event that you are an "independent asset manager" who meets all the requirements set out in Art. 3 para. 2 let. c) CISA in conjunction with Art. 3 CISO, by clicking "I Agree" below you confirm that you will use the content of this website only for those of your clients which are qualified investors pursuant to CISA.

Representative in Switzerland of the foreign funds registered with the Swiss Financial Market Supervisory Authority ("FINMA") for distribution in or from Switzerland to non-qualified investors is Robeco Switzerland AG, Josefstrasse 218, 8005 Zürich, and the paying agent is UBS Switzerland AG, Bahnhofstrasse 45, 8001 Zürich. Please consult www.finma.ch for a list of FINMA registered funds.

Neither information nor any opinion expressed on the website constitutes a solicitation, an offer or a recommendation to buy, sell or dispose of any investment, to engage in any other transaction or to provide any investment advice or service. An investment in a Robeco/Robeco Switzerland product should only be made after reading the related legal documents such as management regulations, articles of association, prospectuses, key investor information documents and annual and semi-annual reports, which can be all be obtained free of charge at this website, at the registered seat of the representative in Switzerland, as well as at the Robeco/Robeco Switzerland offices in each country where Robeco has a presence. In respect of the funds distributed in Switzerland, the place of performance and jurisdiction is the registered office of the representative in Switzerland.

This website is not directed to any person in any jurisdiction where, by reason of that person's nationality, residence or otherwise, the publication or availability of this website is prohibited. Persons in respect of whom such prohibitions apply must not access this website.

I Disagree
Smart beta is no monkey business

Smart beta is no monkey business

05-04-2017 | From the field

It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do. And that it is this that explains their outperformance.

  • David Blitz
    David
    Blitz
    PhD, Executive Director, Head of Quant Selection Research

It has been argued that all smart beta strategies generate positive exposure to value and small-cap stocks in much the same way as randomly generated portfolio strategies do. And that it is this that explains their outperformance. It has even been argued that smart beta strategies with inverted stock weights – that is, those that do not weight stocks proportionally to their book value but proportionally to one divided by their book value – perform similarly.

In this Edhec paper* the authors challenge these views. They show that, although some strategies such as fundamental equity indexation may perhaps be mostly driven by a value tilt and may generate similar performance to their inverted counterparts, many smart beta strategies take exposure to additional factors, and that there can be pronounced differences in factor exposures across different strategies.

Moreover, and perhaps most reassuringly, the inverses of these strategies generate lower returns. We fully agree with the authors’ views and hope that, with this paper, the myth about smart beta monkey strategies has been debunked once and for all.

*Amenc, Goltz & Lodh, “Smart Beta Is Not Monkey Business”, Journal of Index Investing, Vol. 6, No. 4, 2016, pp. 12-29.

Stay informed on Quant investing with monthly mail updates
Stay informed on Quant investing with monthly mail updates
Subscribe
From the field
From the field

Our researchers publish many whitepapers based on their own empirical studies; they also follow quantitative research done by others.

Read all articles
Subjects related to this article are: